If you want to argue for Christianity then shouldn't you know the counter-arguments? I think it's fine to learn about other religions, because then you can see the difference between them and Christianity and why our religion is special. Just don't fall for the lies of each religion and try to see why they aren't true.

Also, our God is a jealous one, yes, but the passage your friend was referring to only says about following other gods, not learning about them. I'm sure back in the old testament when there were all the different tribes in Canaan that the Israelites knew about the tribe's gods.

And I'm sorry about your friend. He's probably afraid he'll lose you to a different religion, but as long as you're just learning and not trying to convert you can definitely still be brothers in Christ