Tell your parents, your friend's parents, teachers, principle, counselors. Most schools should have some sort of policy against bulling, you need to confide in and tell an adult what is going on. If your friend won't tell then you need to, as a friend. Maybe go tell together.

You should definitely get your bullied friend active on this pursuit for help. All those people jelly1bean mentioned above are excellent sources of help and are obligated to help. Neither of you should give up. Learned helplessness is never good.

A bully is a person who is desperate to have friends, who has low self esteem and needs to put others down so he can feel better about himself. (But don't tell him that. It's our little secret.)

Is there a chance you could make friends with the bully? Invite him to your house to play video games or go with him to get a food treat somewhere? Kill him with kindness?

Don't react badly to whatever he says. Play along and make it funny instead of however he means it to be. Bullies love it when you react, cry, scream, get mad. That means they are successful. Don't let this one be successful. Be the smarter person and stop him in his tracks.

"You're a loser."
"Yeah, that's what my dad says every time we play Checkers."

"You're fat and ugly."
"Maybe now, but you should have seen me when I was a baby. Wow, was I a cutie pie."

Do your best Academy Award performance. Do and say exactly the opposite of what the bully expects.