I got the anecdote from the documentary "Commanding Heights: the Battle for the World Economy", where Friedman himself relates the story. Below is a link to the video clip.[1] There is also a Reason interview transcript where the same story is retold by Friedman.[2] In addition, it is mentioned on Mises' Wikipedia page.[3]

[1] http://www.youtube.com/watch?v=tkQfK8hn0ds

[2] http://reason.com/archives/1995/06/01/best-of-both-worlds

[3] http://en.wikipedia.org/wiki/Ludwig_von_Mises