In the UK and across Western Europe/ the US, actually we would just say 'friend', because no one minds the sex of your friend. Men and women are often friends with each other and so there is rarely a need to specify if the friend is male or female. However, I know that in Eastern Europe and other parts of the world, it's better to explain the sex of the person, to avoid any jealousy, gossip etc, so in this case you can say 'my female friend' or my 'male friend' to make it clear this person is not a boyfriend/ girlfriend ;)