First of all, I am very sorry to hear about your loss LMS. I remember that when my Grandad, to whom I was very close, passed away, I was very very aware of his presence for a while, and then that awareness sort of faded, as time passed by, (although without the strong sense of loss you are now experiencing.)
As a Christian I do believe that God uses people to send encouragement and hope to us. I have certainly been reassured by prayers and 'visions' in the way that you have. I think TMF's advice is good. If your friends words were reassuring - which it sounds as if they were - then that is lovely.
Why do some people have faith and others don't? That is a hard one. I think that being brought up with faith can help, although it is not essential. But you learn so much as a child, it makes it easier to build on as an adult if you want to.
Of course, lots of people don't want a faith. Being a Christian is wonderful - it has brought me great joy and comfort, and some interesting challenges too - but it is also costly, and involves living life in a different way to the way I would have otherwise. Some people really don't want to think about changing their lives totally . . . the unknown is always daunting isn't it?
I think that you are right, faith is a gift. We can't just switch it on. But there is a lot you can do, if you want to. Your local church might run an Alpha course, which is specifically designed for people wanting to find out about the Christian faith and to ask questions. Quite a few mumsnetters have been on the courses and recommend them.
The Bible is also a good starting point, if you want to know more. There are good Bible study notes which you can use to help you know where to start.
You can also pray. I'm a great believer in asking God if He is real, and asking Him to show you more about Himself. As God, He ought to be able to do that, if you really want to know, hadn't He?
Hope that helps.