It isn’t always an option, but as a GM I try not to avoid saying “no” to my Players as much as possible. If they (or more accurately, they and their PC) want to do something, I feel that, as a GM, it is my job to help them explore their goals and figure out what the best possible paths toward them are. In my mind it is the capability to accomplish this well that seperates good GMs from great GMs. I mean, we have all played games where freewill was restricted down to a single path where we, the PCs, were completely free to choose our one “option” at each stage of the game or walk off the edge of the world instead. You have to agree that it sux. Right?
So when a PC decides that they want to be able to flap their arms and fly over that mountain range in the distance, what do I do? I keep in mind and discuss with the Player the two most important parts of any plan: the cost and the benefit.
First we discuss why they want to do this (the benefit) because it is important to know the “why” of things. Perhaps the Player has settled upon this plan, not because it is objectively the best way to do things, but because it is the only way they can see to get at the benefit. If this is the case I suggest several courses of action that would lead to the same benefit. It could be that they reason for the flight across the mountain range is to get a burger from the other side and the Player/PC hasn’t realized that there are burgers on this side of the range as well. The Player/PC may still want to go with their original plan, but at least they are now aware that what they want can be gotten using another method. They know that they have options.
Next we go over what steps required (the cost) for their plan to work. So first you need wings, well you did pass that tinkerer in the last town a few weeks ago. Maybe he could help you build something? Could be expensive though. Then you’ll probably want some oxygen to survive at high altitudes, maybe some warm clothing, and don’t forget to bring some money. Hamburgers don’t just grow on trees, you know. Help them figure out how long the plan would probably take to enact and how much of their wealth (money, items, favors, etc) it would take to bring it about.
You aren’t telling them “no” exactly but you are explaining to them that they are going to have to trade something to get what they want. Time, money, deals with unsavory types, moral choices, etc. Just remember to be honest with your Players. Really try to think of a realistic (within the metaphor of the game) way of accomplishing their goal and share it with them.
Also, it is a good idea at this point to attempt to work in some portion of the plan that can’t be accomplished without the aid of other PCs and to try and think of reasons why it could benefit the other PCs to help out. Please don’t misunderstand me though. I’m not saying align everyone in the group’s goals to coincide with those of one member. What I’m saying is that for each PC’s goals, give the other PCs reasons why it could be beneficial for them to move in that direction.
If you can swing it, each PC should know what they’d be getting out of helping each of the other PCs even if that benefit will be eventually betraying the people they’re helping. That way all directions are beneficial in some way for everyone. That way the PCs (not you) are responsible for making the decision and regardless of what decision is made, everyone gets something out of it. PC1 would kill for a burger. So remind PCs2-4 that they’ve each at some point mentioned a desire for onion rings or fries or maybe a milkshake. Sure those things aren’t at the tops of their lists, but it wouldn’t be all bad to let PC1 have their way. Now do that for each PC, not just PC1, and use your imagination! Maybe even some PCs could have secret goals and would be willing to help out another PC as long as no questions are asked about why they’re being so generous? Who knows? Juggling costs and benefits can be fun!
Is it possible that, once the numbers are in, they’ll decide the cost to benefit ratio is too high for their goal and give it up? Of course it is and that’s fine. Is it equally as possible that they’ll develop a driving goal for this shining ivory fortress wherein reside the burgers of legend? Sure it is! And what’s wrong with that? Nothing at all. Maybe it isn’t the typical goal of a group playing in this particular setting, but who cares? If your PCs are motivated and your Players are having a good time, that’s all that really matters. Just remember, shutting down ideas because they aren’t in your original conception of the game is easy. However, that kind of RPG can be gotten from a videogame. A paper’n’dice game really should be more than that.