An "I have this friend" story, is a story where someone asks for advice about a problem that's really about them, but they're too embarrassed to say so. They're similar to "I know this guy" stories where one person thinks up something funny, cool, gross, weird, or sexy, but essentially untrue, and tries to pass it off as true by framing it as if it happened to someone they supposedly know. "I have this friend" stories are about seeking advice about an embarrassing problem however, not about entertainment.
Janet: "I need your opinion about something."
Mary: "What's up?"
Janet: "Well, I have this friend... She's thinking about cheating on her boyfriend with an old flame who called her up last week. She's not sure what she should do about it."
Mary: "Oh my God, Janet! Chris called you last week!?"
Janet: "It's not about me! It's a friend of mine!"
Mary: "Sure it is. Just make sure Tom doesn't find out."