I'm not sure how old you are, but it's not uncommon among young people. One of my daughters especially used to complain about this girl who would often buy the same dress/blouse/shoes/CD, etc.
If this girl is truly your friend I suggest you talk to her calmly and explain how it makes you feel. Let her know that while it's flattering you would like to have your own identity and that you are uncomfortable with all the copying. See how that goes and if things don't change you may have make a decision to either live with it or distance yourself.