Sound needs something to travel through to get from one place to another. On the Moon, since there is no air, sound cannot travel above the surface. So, there are no sounds on the surface of the Moon. Even when the ground is hit with a metal tube or with a hammer, no sound is made.
The Moon has no air because its gravity is too weak to hold an atmosphere. The gravity on the Moon is about six times less than the gravity on Earth, so any gases on the Moon (except for the very heaviest) would eventually float away into space.
Hence, when you and your friend are on the moon, you Will not be able to hear any sound produced by your friend as there is no medium for the sound to travel in the moon.