How can I support my friend who is gay?

Exactly like you would support any other friend. It's often enough for us to just offer our friends a place where they can express themselves. It's even more to try and understand their problem. Not fix it - mind you, but to at least try and get at least a little part of their perspective. Focus on letting them inform you of what the nature of the problem is and what is and isn't helpful towards it. Once you begin to see it from their point of view, it helps you to point out things you can see from where they are standing.

Listen to them and allow them time to discuss how they feel. Explain to them that there is nothing 'wrong' about being gay, and that you will always be there and support them no matter what. This reassurance can do wonders for someone who is coming out, and shows them that they are loved regardless of who they are. Having gone through this myself, my friends were amazing and did just that, support, and reassure me that it is okay to be me, whomever that may be. You can always be a listening ear, and show you care by listening and talking and sharing your experiences with them. :)