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You need a Western Union MTCN - a money transfer control number, together with the first and last names used by the sender.
I'm a little puzzled as to why you supplied him with your bank details; the Western Union transfer system usually operates independently of the banks, AFAIK...
Wait the three days. If he did it Thursday you'd imagine it would be deposited Monday or Tuesday. Has he given you the reference number? If not, ask him for it.