Click the XBOX Guide button. Select the middle button, in between one of an envelope and an XBOX controller. You should see at the top 'Add A Friend'. Select that, and type in a friend's name. Be careful, they may be case sensitive. If you want to add someone you just played, instead click the XBOX controller on the Guide menu and go to their name. Select it, and on the options on their gamer card there should be 'Add Friend'. After that, just wait to see if they accept!
Thanks,
The Famous Peter