This is a bad idea, and not good advice to give to someone. I was once reading about a guy who fell victim to one of those Nigerian scams. Well, he decided to go to Nigeria to get his money back, and he was murdered. Of course, the people who did it got away with the crime, but the point is, you don't want to physically confront the person, because you could find yourself in a dangerous situation.........
You obviously dont go and visit him alone. Off course never go to Africa, but if it is in your country you should try. And you have to check him up before seeing him, but I would try that. Remember, if you have his real address where he stays he is not a pro criminal, if that was the case he would never give you his correct address.