Do I need an approval letter from the Immigration Bureau to apply for a study visa in Malaysia?

You must do this, or you will be refused a visa. Last time I went to the immigration office, I met a person who refused a visa. In short, you should provide whatever the visa office wants you to provide as soon as possible. How did your friend get a visa and what kind of visa he got is unknown. In short, if you think your friend is trustworthy, you can ask him for help. Maybe he has connections.