People can make friends anywhere. At school. At work. At summer camp. And in Conrad's case, at the mental hospital. The problem is keeping these friendships going after you leave school, camp, or the psych ward.
Without the hospital to force them to spend time together, Conrad has trouble staying close to Karen. Plus, she is afraid of her own depression and doesn't quite seem to understand it. She tells Conrad, "Really, the only one who can help you is you. Well, you and God" (7.31).
Conrad doesn't believe in God, so that's not going to help him. But therapy might.
Karen also tells Conrad, "It's contagious, you know that. […] We can't risk it" (7.50). Maybe God should tell Karen that depression doesn't spread through the air like a cold. What she probably means, though, is that if you're depressed and you're spending time only with someone else who is depressed, that depressed worldview might start to seem normal. Or even tempting.
It's sad that Karen doesn't understand her illness, because one result is that she doesn't get the help she needs. She kills herself late in the book, which sends Conrad into a tailspin, worried that he, too, will relapse. Karen's death serves as a wake-up call for Conrad. He realizes he needs friends, so he works on rebuilding his support system.