Don't trust him,he's lying. Insist on meeting his "friend" and see what her reaction to you is. Maybe he wants to have sex with her but she doesn't want him. It kind of makes me wonder why I'd waste my time with some one like that. Don't worry everything will be fine(I hope)
You must let your intentions be known, if you are looking to be his exclusive "girlfriend" you need to make that known. You also need to tell him that you feel uncomfortable with the large amount of time he spends with her.
Maybe he loves her and only wants sex with you. Maybe he wants sex with both of you, I'm thinking this is the best theory. I could never keep 2 relationships going at the same time. I'm not that talented, maybe its a good thing I can't. It keeps me out of trouble anyway and I have enough drama in my life.