Answer
For momentum to be conserved in a system, the system is assumed to be closed, i.e., there are no external forces acting.
If we consider, say, a sliding block on a table, then air resistance and friction act on the block. These outside/external forces change the system’s (i.e., block’s) momentum.
Work Step by Step
If we were to consider the air and table as part of our system, and include their momentum in our calculation, the system’s momentum would indeed be conserved.
