In real life: Check if there are any obvious messages on the phone -- meaning notes or something because you can't generally access voice mail without a password. (I would wear gloves while doing this because I work with criminal attorneys and know the basics of forensics.)
If there's nothing obvious from my friend saying what I'm supposed to do with this, I move on to the next logical step. I contact the FBI. Not the local police because they can't do a thing in a situation like this. If it's a kidnapping, the FBI is the place to start. They will know the right State Department people to contact and move from there. Basically, I'm now out of it, other than answering questions for the real investigators.
Unless my friend is rich or her family has influence, nothing ever comes of it because there isn't enough money to follow up on every possible kidnapping. Friend dies in a hole in the ground when the ransom isn't paid. (I sure couldn't afford to pay it.)
(If the friend works for a company down there, like an oil company say, I also contact them so they can notify their people who handle such things. I figure the company has more stake in not losing employees than the overworked FBI.)
In a game world: Either I or my plucky contact analyze the phone for all data, hack the phone company for a list of every tower its pinged off of (or satellite if it's a satellite phone), ultimately tracking down every place this phone has been. Assuming I haven't been contacted by the kidnappers to give me a better lead, either I or I and my group of oddly well qualified buddies go visit this kidnapping playground and track down my friend.
(If it's a group of friends, one or more will have to die to give the adventure depth. If I'm alone, I have to be having some serious angst about how worried I am about this friend, or possibly regrets because I never told her I love her and want to marry her, or maybe just over how I somehow ruined this person's life. Gotta get some story in somehow.)
And the tracking down part assumes I didn't just somehow access a super military or Google satellite and get realtime data of exactly where the phone is so I can see everywhere it went before I leave town.