.lzma are highly compressed archive files. They are typically both made and unpacked using tar with the a switch.
Not all GNU/Linux distributions ship tar with .lzma support.
It is therefore better to send your friends .tar.bz2 archives unless you are sure they use a distribution which ships tar with lzma support.
They are typically made using a command such as:
tar cfva archive.tar.lzma folder1/ folder2/
And .lzma can be unpacked with:
tar xfva archive.tar.lzma
OR if you do not have a patched tar:
lzma -cd archive.tar.lzma|tar -x