So I was told by a friend that when you bid on an item auction that it takes the money out when you bid, which for the most part makes sense.. however, if you lose the bid you don't get your money back.. 

Why is this? It really doesn't make any kind of sense to me :/

You do get your money back if you lose the auction. I think what they actually meant is that once you bid that money is tied up until the auction is over; it doesn't automatically return to you when you are outbid.

Why it's this way I don't know, but I believe I read somewhere that it will eventually be changed so your money is returned as soon as you are outbid.