Witnesses definitely don't talk to Jesus. If they did, they would get in trouble, because it would be verrrrry 'false religion' to them. I think your friend is nuts for saying this. He wants to look 'normal' in your eyes? But still, he sounds like an absolute heathen form of JW!! Seriously they don't do it.
When I was coming out of the religion and becoming an actual Christian, I felt a strong desire to pray to Jesus, but it felt SO scary to start. I actually asked the Father's permission first, praying that I hoped it was ok. It all seems so silly now!! And no, there's no difference between talking to Jesus and praying to Jesus.