Adolescents are evolved to be curious and to develop a sort of 'herd instinct' in mid to late teen age so this 'peer pressure' is a natural hurdle for them to encounter and learn about. Educationalists and developmental psychologists have conducted many studies and have found that the need to identify with a teen group is common in many cultures and is important in bonding and self-esteem. The problem arises when an outside influence comes into this sphere and the danger complicates it hugely. It is good to be curious, but not curious in the sense of trying dangerous things against amassed and proven knowledge. The trouble is that teens don't take naturally to advice from adults - at this age it is their peers they gravitate towards for approbation and approval. If all the other teens in the group have developed moral autonomy through their family background and can say 'No' with self-confidence and ease - it is easier for all of them in the group. This doesn't always apply - sometimes a 'rogue element' can enter the group and influence all in it. That is why it's important for teens to be able to chat and be open with their parents and professionals who could help out.
What a good question. The reason why peer pressure is so hard to resist is because we are all social beings and society exerts more pressure upon us that we can ever realize. Peer pressure is a part of that.
When it comes to drugs, if you live in a society where the cool thing to do is to take drugs, then drug use will become more appealing due to social pressures. But if you live in a a culture were drugs are a bad thing, then it will be much easier to resist due to the lack of social pressure.
I suppose that you live in a place were drugs are accessible and desirable to some degree. If so, it will be hard to resist, but you can.
Once you are actually addicted to drugs it is hard to say no to them because your body actually has become physically addicted. So it's no longer a matter of what your brain says.
As far as peer pressure goes, the main reason why it is so hard to refuse is the fact that, for most people between say 12 and 25 (not exact numbers) the peer group is the most important group in their lives. When kids are younger, they look more to their parents for approval. When they are older, they have more of a sense of themselves and don't need others' approval as much. But in those years, much of their feeling of self-worth tends to come from what their peers think.