Hi Smodak,
This is very common type of GMAT question. This belongs to cause and effect category.
F1: A study of students who have never smoked.
F2: Study intention was to track the smoking and it after effects on students.
F3: After one year, those who started to smoke were more depressed than who don't.
Conclusion: Smoking cause Depression.
One of the best way to strengthen this argument is - show that the relationship is NOT REVERSED.
Or - Eliminate the possibility of "Depression cause people to smoke."
If you have to weaken this argument, then do the reverse. Show the relationship is REVERSE.
Or - Show that "Depression cause people to smoke."
If you decode option A, it is clearly stating the fact that relationship is not reverse.