The first sentence is in the present perfect tense and therefore describes a situation from the past until the present (throughout the speaker's life until now) and also means that the speaker still doesn't have a friend. The second sentence is in the past simple and therefore describes a situation in the past which has no connection to the present but the sentence doesn't really make sense and seems incomplete unless we are aware of the context in which it is used. For example I never had a friend when I was at school or when I was young.

The first one means what you think it means. It is said from the viewpoint of the present time, so it includes all of the past. The second one is said from the viewpoint of a point of time in the past-- so it actually only means that you had never had a friend -- up to that point in time. You still could have had a friend after that point and before the present.