A friend sent me his .ai file, but I only see few of his layers and get this message saying couldn't find the linked file. What is he/ am I doing wrong?
Your friend placed all these PNG files, but didn't send them to you.
Can you see them when you open the file in Acrobat?
In that case you could also create a new file in Illustrator and then place that file into it.
Well yes, I see something else in Acrobat than in Illustrator, but can't see the layers of course (or at least I think you can't see them in Acrobat).
So you haven't tried?
To be honest I don't know exactly what you mean with place that file into a new file, what file should I place in there? The .ai file? I tried that but it doesn't show the layers, only the opening image.
If intend to work with this file in any substantive way, your friend needs to send you all the links. The easiest way is for them to use the File > Package utility in Illustrator.