I suspect your friend knows that the word "believe" actually has several meanings–and it's important to understand which is the right one.
Let me explain this by giving an example. The other day, I went out to our local airport to get on an airplane–something I've done countless times in my life. If you had stopped me and asked, "Do you believe this airplane can get you to your destination?", I would have said, "Of course I do. I've been on many planes like this; I saw it fly in; I saw people get out of it; I have confidence in the pilots. I believe in this airplane!"
But then suppose the time came for me to actually get on that plane–and I refused! I think you'd probably say to yourself, "He doesn't believe in that airplane after all, because he won't trust it to take him into the air. He doesn't really believe, because he won't commit himself to it."
That's the way it is with Christ. Yes, many people believe Jesus existed; they may even believe that He was the Son of God who died for their sins. But they have never committed themselves to Him! They've never trusted Him for their eternal salvation! In other words, they don't really believe in Him.
I pray this won't be true of you. God loves you, and Christ died on the cross to save you. God's promise is for you: "Believe in the Lord Jesus, and you will be saved" (Acts 16:31).