A movie in which an alien with human form turns himself into a dog to avoid police

Could this be Prey (1977)?

• Alien arrives naked - Check.
• Turns into a dog to evade police - Check.
• Scene where alien resists being kissed - Check.

A deadly shape-shifting alien infiltrates a country house occupied by two lesbians, and proceeds to study their behaviour, for a sinister purpose.

This sounds like a possible match for "Amanda and the Alien", a made-for-cable movie that aired on Showtime in 1995, and more recently on Rifftrax in 2020. (I highly recommend you pick the Rifftrax version if you're gonna watch this thing...)

Most points match your description fairly closely:

"two friends find a (naked) guy who turns out to be an alien"

The main character (Amanda) meets the alien, currently in the form of a beautiful woman, in a bar and befriends the alien to help it "get its Earth act together" so it can escape. Eventually the alien reveals it needs to eat living beings to survive. Amanda invites her jerk boyfriend over and leaves them together so the alien can feed. After some hanky-panky, the alien eats him assumes his form. The alien is a lot nicer than her now-ex, so they get together.

Eventually, government agents track Amanda to her apartment. As they question her, the alien (after a night of hanky-panky and having no idea of Earth social norms) walks around the house naked while the government agents question Amanda.

So, "two friends" - check (more or less) - "befriend" - check (more or less) - "naked guy who turns out to be an alien" - check. (Especially if your friend was a child when he saw it, this would check out.)

"When police check the house they only see a dog in the room. It turns out the alien guy can shapeshift."

The alien definitely "shapeshifts" every time it consumes a new person, because it takes their form.

The dog is the only point that does not match. I do not recall the alien turning into a dog, and a quick fast-forward through the Rifftrax version does not reveal anything more than a cat in a few scenes. For what it's worth, though, I remember thinking "I bet he's going to turn into the cat!" when the government agents were there, and it turned out to happen another way, so who knows! Maybe this was a false memory on your friend's part?

" a scene where a girl kisses the alien, which he doesn't know how to do."

Big check. It's a Showtime movie from the mid-90's. Approximately half the movie was predicated on "alien doesn't know about sex" sexual tension.