I'm pretty sure there is nothing illegal to it, unless the program he uses changes the ip by connecting through someone elses computer. (like using it as a proxy)
Can't u ask ur friend how he does it? I don't think it would offer much protection, since when a cracker gets the connection I'm guessing he can keep it even if the ip changes. (if he wouldn't then pretty much any program, including games, would lose connection when the ip changes) And I doubt it happens, or then he just isn't a gamer since I wouldn't want to be disconnected from a server every 10 mins.
But just ask ur friend how he does it and then try it out and see if u like it.