I think that no matter the circumstances having a newborn can be difficult and even depressing, and as the situation complicates it can be even more depressing. I'm assuming that the baby is probably in the NICU (neonatal intensive care unit), being so tiny and early. Going to the NICU can be kind or depressing because there are so many sick babies and parents that are facing the fact that their babies may not be coming home. For some it can be helpful to have someone go with them on their visits, even if it's just to drive them to the hospital.
Visiting and bringing meals (you can arrange to just drop it off at the door if mom isn't in the mood for company) can also be helpful, and will assure that the family is getting good food to eat. You can offer to organize a meal calendar so friends of the family can sign up to provide meals on certain days.
I don't know if this is a first child, but if there is a way to arrange for fun activities for the other kid(s) it can give the parents a break as well as giving the other kid(s) some attention.
Having someone to listen is also usually needed. I've found in the work that I've done, friends and family are often times quick to offer encouragement and assurance that everything will be ok. But sometimes it's hard for people to voice their fears with out a loved one, who means, well shutting them down. An example of this could be:
mom says: Sometimes I blame my self for the baby being born early, if only I hadn't done ...
A supportive person says: This must be really hard for you, I know it would be for me.
instead of: You didn't do anything wrong, you shouldn't blame yourself.
Usually our immediate response is to tell the person that this isn't their fault and they didn't do anything wrong. And we can do that, but first it's important to let them talk, and encourage them to express how they are felling. By negating what they say we can make them feel like it's not ok for them to talk about how they are feeling.
Also, it's always ok to seek professional help even if it's for a short period of time. Again, if the baby is in the NICU there are counselors available to help that are very familiar with these types of situations. Encourage mom to ask for their assistance.
OK, thats my 2 cents plus some. I'm a social worker and have worked in both adult and pediatric hospice and palliative care, as well as provided grief counseling to children and parents who have had siblings/children who have and haven't recovered, so this strikes a nerve for me. Good luck, it's always important to be surrounded by caring people, especially during the hard times.