How big is the risk of transmission for my 4 week old, a friend with a cold sore held him while talking for about 5 mins? (i didn't notice until then)

It's possible: Cold sores are frequently caused by a virus, herpes simplex. The virus is spread by direct contact with a cold sore, or contact with bodily fluids which are contaminated with the virus. Coughing or sneezing is more likely to transmit this infection than talking, but some tiny droplets are released during talking. For more info: http://www.webmd.com/skin-problems-and-treatments/tc/cold-sores-topic-overview

Low risk: The likelihood that your little one had direct enough contact to contract herpes simplex in this context is low. The risk would be greater if your friend kissed your baby, especially if any contact with open skin or mucosa occurred. See your pediatrician with any suspicious lesions.