The most prudent thing to do is to file your own return as the IRS recommended, which will probably trigger an investigation of both returns.
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Report the issue to the IRS and the applicable state taxing authorities immediately. The IRS and state taxing authority will probably request that you file your own tax return if you did not sign the tax returns that your friend filed. Criminal tax matters will also taken care of by the government if they decide to pursue criminal action against your friend for fraudulently filing a tax return on your behalf and absconding with your refund check.
4 lawyers agreed with this answer