Only we're not the cool people outside the Matrix who can bend it to our will and stuff; I think those are the manic depressives. It's no wonder we're depressed really.
Anyway, in that movie, as in actual life, I never understood why people wanted to live outside the Matrix. Maybe on medication I don't live in the "real world", but so what? Yes, inside the Matrix you are living an illusion and robots are sucking your...life source or something... but are illusions really that bad? In the Matrix there is good food, and television, and carpeting. Yes, it has its problems, but at least we aren't constantly being hunted by giant octopus-shaped killing machines.
In my friend's case, I think he just doesn't want to give up the sexy dance parties.