Almost all phone cameras add location data when you take the picture (unless you disable the feature). If your friend uploaded the photo to FaceBook or sent it to you by other means it would contain the location of the photo when taken. It is possible to strip this information from a photo before sending it, but that's an extra step most people don't bother with.
I believe FaceBook also has a privacy setting that will hide/strip location data. But I think it is also off by default.
Depending on the view, the Photos app will show you the location of a photo when the information is available. It does not matter if you took the photo or not, only whether the information is contained in the photo's metadata.
There are two kinds of metadata that may be contained in a photo. EXIF describes things like camera settings,
geolocation, file stats, and other technical information:
http://en.wikipedia.org/wiki/Exchangeable_image_file_format
IPTC is mostly concerned with copyright, tagging, and other management data. There is some overlap between the two; and both may be applied to the same photos.
I currently have two apps that let you look at your photo's EXIF data, and in some cases stip. things like the geolocation.
ViewExif creates and extension you can use to view and strip information from within the Photos app. If you open the app itself, it just tells you to go to the Photos app and use it there.
Metapho does the same, but can also be used to browse and view information from within the own app.
