My friend asked for my help but when I clicked, it said "Goal not found". Where is the Goal?

This means that the Goal has expired and you can no longer help your friend with that particular Goal.

It's also possible, if the Goal they're asking for help on is a Medium or Hard Goal, that you haven't unlocked the ability to play those Goals yet. If that's the case, you'll need to play enough lower-difficulty-tier Goals in order to play on the same level as your friend.