Rhodey has been a trusted confidant and friend of Tony for years via the comics. The Iron Man movie also alludes to their trust when Tony questions Rhodey "So are you going to come by and see what I'm working on?" And of course Col. Rhodes is an official liaison between the US Military and Stark Industries. read more
Also in the first Iron Man there is the scene when Rhodey sees Tony's lab for the first time when he was almost dead and after he helped Tony and Tony flew off Rhodey looked around and saw another suit that was half built. read more
up vote 10 down vote favorite Iron Man 2 saw James “Rhodey” Rhodes take Stark’s silver Mark 2 armor and with the help of Justin Hammer (Sam Rockwell) turn it into the heavily armed War Machine. read more