GirlFriday,
Since your friend's budget is under $40 (I guess some people don't read the specifics and direct towards $80+ headphones), I'll recommend the following: Head over to your local Circuit City store and purchase the Panasonic headphones for $29.99. These are "closed" style headphones and feature an excellent frequency response, a 16' cord (a bit long for a portable), an on-cord volume control and sound very good with a portable CD player. The bass is pretty good on these headphones and I no longer have to utilize my bass boost button on my portable player.
If you purchase these from Circuit City and decide you don't like them, you have 30 days to return them for a full refund.
As far as the comment about anything from Sennheiser being good. I think this is not truly the case. Some of their cheaper lighter-weight headphones are not that good.