"Legally" speaking, both are equally correct. If one wasn't legal, it wouldn't compile.
As far as readability is concerned, I usually side with your friend (explicitly split your string into two lines and concatenate it). According to the Java Code Conventions published by Oracle, lines should not exceed 80 characters. I (and several people agree) that this is simply too short and 100 or 120 character line limits should be used.
Basically, if your line of code (containing the long string) is going to breach your line limit, I recommend your friend's solution of concatenating two strings.