Is it normal that we want to be opposite gender?

No, it's a mental disorder. Don't let society feed into your delusion and cause you or your friend to mutilate your bodies.

Being transgender is different than wanting to be the opposite sex; It is when you feel you are the opposite sex. There is this thing called gender dysphoria, and it is extremely difficult for someone to go through. Imagine someone dressed you in a really uncomfortable outfit while you were sleeping. It's hot, tight, itchy, and definitely not your color. Everyone else keeps telling you that you look great, but you are the most uncomfortable you have ever been, and you would do anything to take it off. This is something transgender people face. This is different than fantasizing what it may be like to be the opposite gender, which I think is a normal thing to wonder.

Yes, you are absolutely normal. You are probably Transgenger of Transsexual. Transgender means feeling like you are a gender other than your biological one, and Transsexual means you feel like you are or belong in the body of the opposite sex. I recommend both of you looks these websites for more info:
http://www.glaad.org/transgender/transfaq
http://www.apa.org/topics/lgbt/transgender.aspx
(Sadly, a lot of people don't believe in gender identity, so I apologize for all the bullshit you will have to deal with for something normal and biological.)
Best of luck to you and your friend!