Hi, I am new to this game and my friend recommended it to me. We started playing a multiplayer game after I finished the tutorial, but on the map he had selected, I could not find stone. I was able to find gold, iron, coal and wood, but there was no stone to be found. My question is, if I get in this type of situation again, what should I do to find stone?

Some maps don't have stone, but you will be given a very large supply of stone in your storehouse so you don't need to mine it :)

Knights and Merchants has a few bugs in multiplayer which can cause it to go out of sync. If you are interested in multiplayer you should have a look at the KaM Remake project, a fan made recreation of the game which has improved multiplayer:
http://www.kamremake.com

I noticed that the game gives you a lot of stone, but I didn't think there would be no stone. I also checked out the remake, and I really think that the devs did a good job on fixing some of the bugs and also making the multiplayer a lot easier to use.