I'm mad at my friend for not taking my advice
What kind of advice did you give your friend?
I tried to suggest many times to him to get psychological help, but he didn't want to.
It is good that you are trying to help your friend out. Try not to get mad at him though, even if you are giving the right advice, it could take some time for your friend to act on it.
I am trying my best to help him.
That's what good friends do. Be persistent but give him space at the same time. Your friend will eventually come to his senses.