You know the type: They want to do everything you do...almost like a little kid. You buy something new, and they run and get the exact same thing, or close. You tell them you are going to such-and-such place. They get there before you do.
It seems like you can't do anything without your friend following close behind. Yes, it's annoying, but this behavior signals something much deeper. Clearly, they want to be you! I know that sounds super simplistic, and there's probably a lot more involved, but in a nut shell, you are what they would like to be.
Whatever your qualities are, your friend wants them. Whether you are pretty, handsome, smart, witty, funny..it doesn't matter. On the outside, your life is so much better than their's ever will be. And of course it's not. You have the same problems everyone else does. But not in this person's eyes.
So now you know the reason, but how do you stop the behavior? You've got to sit down and have a serious chat. Tell him/her that while you value the friendship, it doesn't do either of you any good to be constantly together. You both need your independence, and so could you give me a little space? (You don't have to say it like that.) However you want to broach the subject, you need to let this person know that spending a little less time together is a good thing. That you feel she has become too dependent on you. And be sure to reiterate that you have confidence in her. And point out those qualities that you admire.
This conversation won't be easy, but it is necessary, for both of you. And if this little sit down doesn't work, you're going to have to start distancing yourself, and be less available. She'll get the message. It will sting a little, but eventually, your friend will find her footing, and hopefully realize she can stand on her own two feet, and their just fine.