Well, the problem is: is the guy being honest? Did he take his friends game without permission? If so, it is stolen property and now you have been made aware of the issue, you are holding stolen property. You will lose possession of the property if his friend follows through with his threat. You may not regain your money. Of course the guy that sold it to you could be charged with stealing and selling stolen property as well. Will his friend actually do that to him?
while I have a touch of paranoia, this situation also makes me wonder if this isn't a set up to either take it back from you without refunding your money or even something worse.
Personally (definitely not legal advice) I would return the game in exchange for a full refund. I would suggest the exchange take place where you are protected and they can't simply take the game and run off.
Until the game is reported stolen, the police aren't likely to be interested.

