If I want to mention a friend and to specify his/her sex, how can I put it short? Do you say a "he-friend" or "she-friend"? If I simply say "boy-friend" or "girl-friend" does it always mean we have relationships?
How to specify a friend's sex
Females sometimes describe their female friends as "girlfriends" even if they aren't in a lesbian relationship with them, but it's not as common anymore. Sometimes girls call male friends that they aren't in a heterosexual relationship with "guy friends".
Typically you don't refer to their gender unless it is relevant to what you're saying about them... You would normally just say "my friend" and then use the respective male/female pronouns, if their gender is somehow relevant you would say 'my friends who is a girl' or something along those lines. Or you could use their name... "My friend, Mary..." or "my friend John..." and their sex will be implied.
I agree with Skippy. But if you insist, you could say "guy friend" or "male friend" and "female friend".