You always want to be able to help those in your life that you care about, you want to be able to help them make the right decisions that will benefit them and won't cause them harm.
But in the end, there is only so much you can do to help if they won't listen to you or believe that you aren't looking out for them. It's difficult to give advice to some depending on the subject, like family or beliefs because it tends to get messy when trying to give advice on things that are a touchy subject for most. But you see things they don't see in certain things because you have an outside view.
Once you give them the advice, they either can take it or not.
If they choose to not take it then, there is really nothing you can do. You just have to be there to pick up the pieces after things come crumbling down. Or you could have been wrong and everything worked out in the end.
But you tried to help that's all that matters, don't beat yourself up about it.
Don't feel as if you failed as a friend or as a significant other, you tried your best. Sometimes people just don't want advice! They just want to do it their way and that's okay. You can only help so much, you can give advice 'til your blue in the face!