> He would say "This call is being recorded." He told me that most of the companies hung up immediately, when he said that.
If someone calls you and declares that they're recording the conversation, you probably should hang up too. It's usually used as a threat by people who intend to use it against you legally somehow. Your friend may have been an exception, but there's no way for the people on the other end to know either.
If you're acting as a representative of a company on the phone, hanging up and informing your manager or legal counsel is a good idea.
As for customer service recording calls: I didn't understand this until I was on the other side of customer support. The number of people who tell lies about interactions with support is insane. These days it's mostly e-mail and therefore easy to look up. You wouldn't believe how many people would try to throw our customer support people under the bus ("Support said you'd give me a free replacement!") until they realize we can go back and check these things.