One addendum, since I'm one of those strange people who wants to have plots and outlines worked out at least a few scenes in advance... I feel kind of like a shepherd. I set the characters out pointed toward the goal of the scene. They wander off the track a little bit, exploring bits I hadn't anticipated. I go with them on that, and then gently guide them back to where I need them to be.
Now, like Paul said, if they're flat-out refusing (or demanding) to do something, you have to deal with that. But I always try to get them back on track, one way or another, and I can usually do it. Like I said, I usually have a goal in mind, so as long as I can get there from here, I'm good.
PJ
(who confesses to having goals like, "okay, in this scene W has to say something to Y so that later A will know H is lying...")