First thing to note is if you jump out of the session by entering a race, shop, instant challenge or jumping to the map you will lose your friend as you have exited that session. The best way to do this is tell your mate to stay still and park up, now select the map, select the players filter or friends list one or the 2 as I'm not sure how it works on PC and highlight him with your mouse so it shows his name and car. Now if it doesn't have 'N/A' you can join him, if it does just wait till it disappears.
Now with him selected click on him and the game will try and load you into his session, it's usually successful but if not it takes about 2 or 3 attempts. Once you are together choose the left menu and select his name and choose 'Lock'. This means no matter how far away you go on the map you will not lose each other, THIS DOES NOT INCLUDE LEAVING THE SESSION as mentioned above.
So if you and your mates wish to drive from point A to a designated point B mark it on the map with your GPS first then jump to him.
Hope that helps and enjoy.