I live in Usa and I have a friend that lives in Korea he wants to send me money but we don't know how to do that. Can you help?

If he has a bank account, he could do an international wire transfer. Other options would be western union or paypal.

Do you know if Korea has a Western Union? And how do we do the paypal?

http://www.westernunion.co.kr/en/index.php

If you establish an account with paypal and connect it to your bank account, your friend can send you money either using a bank account and his own papal account or by credit card.
Www.paypal.com