Learn Russian: Мой друг сейчас в банке.

This is the Prepositional case, which we use to talk about locations. The dictionary word for bank is банк (a masculine noun ending in a consonant). To say someone is in that location, we use the preposition в and add the ending -е to the noun, making it в банке.

Why is there no word for "is" in this sentence?

In Russian, the present tense of the verb to be (am, is, are) is almost always skipped. You literally just say Мой друг сейчас в банке (My friend right now in the bank). You only need to add a verb if you are talking about the past or the future.

How do I know whether to use в or на before банке?

We use в (meaning in or inside) for most physical buildings and enclosed spaces. Since a bank is a standard building that you go inside, it takes в. You would use на for open areas like a street or abstract events like a concert.

If my friend is female, would I just change мой to моя?

Not quite! You have to change both words. The word друг is a masculine noun. If you are talking about a female friend, you must use the feminine noun подруга. The word for my then changes to match it, giving you: Моя подруга сейчас в банке.