Do not bow down to peer pressure. If, for example, you and your friends are out and they start to drink alcohol (which underage boys should never do), don't feel like you must do it, too. You never have to go along with a group or another person.
Learning to say "no" in certain situations is imperative (essential). Books and other courses can help people learn and be comfortable with saying "no" when they want to and not go along with something they don't want to do or shouldn't do.
Adults also feel peer pressure at times. You never have to do what your friends are doing; dare to be different and be the boss of yourself. If you bow down to smoking, for example, you are being submissive to your buddies and not being the boss of you. Just replying "no" to something you do not want to do is 100% sufficient; you don't need to explain your decision.