I hope your friend bought the game for your, or at least to try, and not to copy?
Rergardless, you may be having video driver issues. I suggest downloading the latest video drivers for your card and retrying the demo or your friends game to see if it it fixes the problem.
Looking at the Fifa 06 Forum it could be a joystick/gamepad/Wireless peripheral issue? If you have any joysticks/gamepads try unplugging them and see if it helps, or if using a wireless mouse/keyboard then try a wired mouse/keyboard.
Goto the official
FIFA 06 Forum and search for MENUS and see if any topics there help!