Ok, I'm going to assume that you are a new shooter since you are asking this. First of all, as far as your friend's comment is concerned, it really doesn't matter what caliber you use as far as wall penetration goes because if you miss your target, most rounds that are currently in production (regardless of caliber) are going to penetrate through wallboard. The exception is frangible rounds. Caliber makes no difference. The most important factor when it comes to defensive shooting is to hit your target in a vital area (center mass, head, groin), not the caliber used. The differences in performance for modern defensive ammunition (Speer gold dot, Federal HST, Fed Tactical, Remington Golden Saber/GS Bonded, Winchester Ranger T or Bonded, Win PDX, Hornady, Corbon, etc) is not even worth considering on the civilian side provided you make good hits. In most cases, you aren't going to be shooting through car doors, etc and auto glass. Choose a sidearm in a caliber you can control and use any of the premium defensive loads that will function in your weapon. Even older designed defensive ammunition will get the job done provided you do your part. Try not to get all caught up in the caliber debate. You are wasting your time and energy doing that.
Also, please don't take this the wrong way. If you new to shooting, you may want to find yourself a competent instructor and get some training in the proper use of firearms. A competent instructor will get you started out on the right foot. You really don't want to be carrying a firearm unless you've had some type of proper training. Its more of a liability issue because what you don't know CAN get you in a lot of trouble legally. Nobody wants that. Carrying a firearm is a huge responsibility and its definitely your right to be able to defend yourself. Nobody wants to ever be in a shooting situation, but in today's society, you never know so get some training.
