there should be a tab somewhere that shows all the players on live chess at that time. Find this tab, look for your friends name, right click it and click challenge! this challenge will only allow your friend to join the game with you.
Then simply enjoy kicking his ass!
I don't really like the challenge system because it's a little slow and I've been trying to figure out how to play friends only in live chess. But every time I start a live chess game, someone pops in that I don't even know. The only reason I came to this site was that I got fed up with yahoo's game bugs and wanted to play people I know. But how do I do that?