Your friend is right. Talk to your Service Provider or post back the make and model of your phone. It is quite expensive to use a mobile like this though. Are you sure that there`s no plug in telephone point?
An alternative is to use a bluetooth connection to your phone - assuming your phone has bluetooth of course. A bluetooth USB device for your laptop would probably be cheaper than the cable at around £10-£15 and could be useful for other things without being restricted by a cable.