Why don't you ask her why she does that to you? A true friend shouldn't do that to someone they care about.
I'm always feeling left out, my friend is always playing with my other friend and she dosen't let me come out with them. I feel upset, what should I do?
You should speak up and say "Hey I wanna hang out with you all"
This has happened to me a couple times in my life, and the best way to go about it is to ask what's up with your friend first. Just ask if there is any particular reason why they don't want to hang out. If they think that you're overreacting or keep leaving you out, then it's a sign that they weren't a good friend to begin with and you should find other people worthy of your friendship.