The Immersed Interface Method (IIM) is derived to solve the corresponding Fokker-Planck equation of Brownian motion with pure dry friction, which is one of the simplest models of piecewise-smooth stochastic systems. The IIM is capable of treating a discontinuity in the drift of Fokker-Planck equation and it is readily extended to the dry and viscous friction model. Analytic results of the considered model are used to confirm the effectiveness and design accuracy of the scheme.