When I said, "I have a party next week.",
my friend corrected me as "I am having a party next week."
What is wrong with my sentence?
Why I have to say in present continuous form?
Could any body help me to understand?
Yes, the difference is that the party is in the future. As chamyto says, one of the uses of the present progressive tense is to talk about the future.
One of the uses of the simple present is to state a fact; you have a family, it is not something you do.
It might be helpful for you to read about verb tenses on this website. You can read their explanations of these tenses and do their on-line exercises. The system will check your answers for you and tell you which ones are incorrect: http://www.englishpage.com/verbpage/verbtenseintro.html