Welcome to the forums.
Did you change the name of the game at all after he sent it to you? The name of the files have to match (except the CSA or USA part).
Are you on the same turn? This sounds silly I know, but if he accidently processed the turn (without your orders), then you would have sent back the orders for the turn before. The game will not give the paperclip icon for that.
Are you sure the save is in the correct location? Once again, I know this sounds silly, but Vista has been known to move save files for the game. The .hst, .trn, and .ord must all be together in a folder for processing.
I am sure there are other things that could have gone wrong, but I am drawing a blank right now.
Remember - The beatings will continue until morale improves.