"support" is 지원하다 or 지지하다, and "supportive" is 지원하는.
But these words are too formal for what you're talking about.
For "Thank you for being such a supportive friend", people would just say one of these.
- 항상 함께 하는 친구가 돼 줘서 고마워. (함께 하다 = stand by)
- 늘 곁에 있어 줘서 고마워. (곁에 있다 = stick around for support)
- 늘 도와줘서 고마워. (Thank you for always helping me out)
- 항상 힘이 돼 줘서 고마워. (Thank you for always giving me strength).