If you mean that you are running SQL2005 on your PC and your friend is running another SQL2005 on his PC, then you can connect to your friend's from your PC by:
Right Click your Server, Connect .. then under Server Name, enter your friend's Computer Name as the server name.
Assuming your friend is running a default instance and you haev permissions, you should be able to connect successfully and see both your's and your friend's server.
Your friend's computer name is accessible from right click My Computer.
Hope that helps,