Two of the more common methods are e-mail (limited to smaller files), or you can actually do it using Windows built in MS Networking (you can open a browser and type \\%yourfriendsipaddress% to view his network shares (assuming he grants your username/password rights, you can copy and paste the files over).
However, FTP is the best bet to transfer files. Its been around years, and there are even secure ftp clients out there with different encryption methods if the data is sensitive. Be wary of 3rd party clients that integrate with the windows shell, I frequently see errors by these functions. Typically you can uncheck that integration during the setup, do so if you can.
Matt J.
Please always take the time to backup any and all data before performing any actions suggested for ANY problem, regardless of how minor a change it might seem. Also test the backup to make sure it is intact.