Its the connection between you & your friend.
It is due to the one or both of you have a un favorable "nat" setting.
To confirm this have him verify his nat settings by testing his network settings on his 360 console.
Look for the the following: Nat = strict | moderate | open.
It will be one of the 3. Strict makes it very hard to connect to everyone that you would like.
Moderate is the middle ground.. you sould be able to connect with most...
Open will enable you to connect with almost anyone over xbox live, there are few exceptions however.
Oh and you should perform the same test in case that you are the one with the least than optimal setting
Post here if you need further help.
€: forgot to mention that this issue will only occur when you 2 are trying to connect "directly to each other".
If someone other than the 2 of you is the host.. you will likely be able to play in the same game without issue.
This post was edited by lc3 on Jan 18 2009 03:02pm