What did McMurdo mean when he said that he had the means of making friends, and that there was no town without a lodge and that's where he would find his friends?

In this scene, McMurdo is alluding to his lodge membership, and the fact that membership affords "friendship" and connections in whatever part of the world one travels. To be a member of the Freemen is considered a great honor, and these men respect and support each other wherever they might be.

“I am one of the Eminent Order of Freemen. There’s no town without a lodge, and where there is a lodge I’ll find my friends.”