Maybe you're not inhaling properly? A lot of people that are new to smoking don't know how to inhale the right way and it wastes weed along with frustrating the person. Make sure you're inhaling the smoke down into your lungs and not just in your mouth.

If you're 100% sure you know you're smoking the right way then get some better weed and get something better to smoke out of. Perhaps try making a gravity bong out of a bucket and a 2 liter(or bigger). Look online if you or your friends don't know how to make one.