If the Defending Pokemon is currently protected from effects of attacks, do I apply Resistance to Donphan's "Rock Hurl" attack or not?
No, because the phrase "Don't apply Resistance" is part of the damage calculation, not an effect of the attack.
Source: HeartGold & SoulSilver FAQ (2010-02-11), PUI Rules Team (2010-02-11)

Relevant cards

Note: All applicable cards may not be listed below.
COL1_42
EX14_27
HGSS1_40