What can i do if my friend is taking the first steps on the road to a life of destruction *drugs, sex, alcoholism*?

Talk to them.: You should discuss your concerns with your friend. I wouldn't initiate any interventions or anything like that at this point.

A discussion: Here's the deal. Often times, unsolicited advice doesn't go over so good. There is a technique called motivational interviewing, whereby, instead of just telling someone something he or she doesn't really want to here; questions are asked instead. The questions should be as non-confrontational and non-judgmental as possible. You want to help your friend to see how his habits are affecting life.