If you're worried about what your friends would say if they say you with an afro, then you really shouldn't. True friends won't care about what's natural about their friend. Plus, there's nothing wrong with having one.
Anyway, is your hair already natural or is it relaxed? You could braid your hair or wear cap. The trick to wearing a cap is to wear a plastic cap or bag underneath it to make sure no water will leak through.
Speaking as a white girl with super-boring caucasian hair, I honestly love the look of afros! Natural is beautiful, and if your friends are really your friends, they shouldn't be bothered by your hair. :) That said, if you really don't want to leave it as is, you could try pulling it back into a tight ponytail or braid.