A lot of people mistake the placebo effect for alternative medicine, which is something different. It is common medical pratice to prescribe a placebo to a patient who thinks he or she *needs* medication.
It's also of paramount importance in pharmaceutical research, when new drugs are being tested it is important to filter out any other influence than the drug itself. This is done by blind or double-blind testing, in the former the patient doesn't know it's been given a placebo, in the latter the doctor giving the drug doesn't know he or she is giving a placebo(to filter out the influencing of a second person). Studies have found placebo effects with lots of medication, and these are renown researches.
Studies show a large negative correlation between the amount of stress (for a prolonged period) and the number of white blood cells in the blood. A proof that stress has a negative impact on the body's defence system. There's also lots of research on changes on a neurochemical level due to psychological changes, providing evidence of physical changes due to mental changes. It is all a matter of neuro-chemistry and mind. Wether one influences the other or vice versa is a different discussion.