Is it okay to have a Non-jewish friend? if not, why not?
There are several examples in the Talmud and Chazal of friendships between Jews and non-Jews, and this is fine.
However, Chazal enacted various enactments to ensure that a certain distance is kept between Jews and non-Jews, such as non-Jewish bread and wine. This was done to ensure that Jews and non-Jews would not intermarry (Shabbos 17b; Avodah Zarah 36b).
In deference to these enactments, one should keep a certain distance from non-Jews, in particular where non-Jewish culture and outlook is liable to influence–something that indeed could untimately lead to intermarriage. Therefore, although there is no formal problem of friendship, much depends on personal circumstances.
It is noteworthy that the Meiri writes in several places that the non-Jews of his time have a different status from non-Jews of old, yet this was not said with regard to relationships. The general approach of Judaism to non-Jews is a deep and lengthy issue, and we will please G-d try to dedicate an article to it in the near future.