Do U have a Sharkport 2? The default file type for it is .sps which is also what a replay save is. If U have SP1, the original sharkport, it will not work with .sps files, but U can D/L the SP2 software from Interact.
Also, is your friend from the USA? If U are using NTSC, and the replays are PAL, or vice versa, they won't work.