Some guys find it enjoyable and/or arousing to dress in female clothes or underwear (one famous example is the stand-up comedian Eddie Izzard).
This is called "transvestitism" or "cross-dressing", and it's quite common. Nowadays, people are starting to accept that this is just an interest or fantasy some people have, and that it's not a "sickness" of any kind.
It doesn't mean anything about his gender identity or sexual orientation - most guys who cross-dress identify as straight and male.
So as long as you're both comfortable with this, there's no problem .