In this case, you could say, 私の友達が来れないと言った。(わたし の ともだち が これない と いった)
In English it would be, "my friend said that he can't come".
When you want to quote what someone else said you can always say -と 言った or -って 言った (very informal). and you always add it after whatever the person said.
言う has a lot of other usage as well, for example when you want to say "it's called".
Ex: "I'm called David"
It's a very useful word ^_^
I hope this was helpful!