Nthing that your friend knew better and just failed to do her duty to support you.
Next time, you could try:
which, especially with a drunk, may not get you the response you want. So how about:
"What kind of a thing is that to say?"
"Cut it out."
"I am definitely not having any fun with you."
or getting up and leaving the room, or the party, depending on whether the costs/benefits are worth it.
I really think there's something very wrong about this. If I have read this right and you and your friends are women and the person heckling you was a guy, it smacks of harassment and instead of supporting you, your friend reprimands you for failing to say No. This is not somebody I'd count on to walk me home on a dark night.