I am trying to make sense of the following study, which a Facebook friend says "proves" that women with higher cholesterol live longer.
The study does not "prove" anything as it is only a analysis of the data from an epidemiological study. Such studies can not and never will "prove" anything. They only raise questions and show associations, or lack of them. In this one, which is only one attempt at analyzing the data, suggests that the associations between cholesterol and mortality, have some questions to them. As mentioned, there are other issues on why that may be including pre existence of other diseases, etc.
Also, cholesterol is only one risk factor and in and of itself, does not prove anything.