Thank you, everyone, for your replies.
I should perhaps have added that the lie is about something fairly unimportant (this guy saying he hasn't done something that I know he has in fact done). The lie wasn't even directly to me, it was just something he said in passing, so I don't think his intention was to deceive me specifically... I'm just confused because I don't understand WHY he's lying, and can't ask him about it. As I say, though, it's stressed me out because he has also previously said that he doesn't lie, so now I don't feel I can trust what he says. I know I'm being rather melodramatic, but it's just bothering me. As I say, I don't understand!