I agree that your rudder may not be low enough. I think mine is about level with the bottom of the skeg. Basically, you want it down as far as you can get it without interfering with movement of the tiller.

The other thing you can do is sit a bit further aft to get the rudder a bit deeper.   

   Guedelha,
Lug or sloop?
Barn door or kick up (rudder)?

   And, if lug...

What side of mast is your sail rigged?

Lug rig rigged on the port side. Shallow rudder, not kick in. 

I was able to drop the rudder half inch deeper. I will test again tomorrow. 

That's interesting, I noticed the exact same problem on my first outing in me NE dory this past weekend, except that mine is sloop rigged. Same thing though, I was on a port tack in ~5kt winds, and tried to bring it left into the wind and the thing wouldn't budge...very odd. Felt like the rudder wasn't big enough/deep enough into the water.

   In addition to my comments above about getting the rudder deeper in the water and shifting further back in the boat, I'll add that there is a definite learning-curve in sailing very light-weigh hulls. Heavier boats carry more momentum into the turns and thus are easier to bring about in some wind conditions.

In sailing a dory or skerry, you should expect to get "in-irons" on occasion when the wind is light. And if you are a beginner, you may be sailing most often in light-wind conditions. The best way to avoid that nuisance is to get your boat speed up to its maximum just before initiating the turn. That generally means you should "fall off" for a minute or so to build speed and then firmly initiate the turn. When you are bringing the boat about, you need to keep it turning a good rate of speed. If you try to turn too sharply, the rudder will act like a sea anchor and bring you to a halt. But if you turn too slowly, the gradual loss of sail's grip on the wind will slow you almost as much. There is a sweet spot in the middle that you need to learn to hit.

After a bit of practice, it will become second nature to you.