I have just found an option on the settings for the lock screen to enable tips and extra information. I don't know if this will give you the information you expect as I have it disabled on my machine.
I suspect your friend has got an extra app to retrieve the geographic location of the images. I haven't been able to find anything that gives this information by default.
All is not lost though. There is a way you can find the information you ask for. Although you have to do a bit of digging.
The images are distributed through Microsoft's Content Delivery Network and are stored on your PC in the following location:
You might have to enable "show hidden files" in order to get to this location. In this folder there are a lot of files with random names like:
If you add
.jpg to the end of this file name you will discover that it turns into a picture file. You can now open the file properties window and view the metadata. Sometimes this metadata will include GPS co-ordinates, in others (like my example) it will have a completed description and tags.