What is he trying to send to you?
If somebody send you a file it is automatically marked by Windows Xp (SP2 only) as 'from the internet' and sometimes it is even blocked, and you get a warning when opening. To remove it, right click the file -> properties and click the button in the screenshot I attached to remove the block.
Note: If your friend sends you an exe file, ONLY open it when you completly trust it... Never open a .pif, even if one of your friends tries to send it.