in flying, you will encounter a time (or many times) when ATC will direct you to do something that is
a) unsafe
b) illegal
c) foolish
d) all of the above
such as directing a VFR pilot to make a climb into the clouds where he or she has no place going because it is (d) all of the above
in this case the proper reaction of the PIC would be "hey, i cant do that!... sorry atc, cessna 123 UNABLE"
another case that happened at my school recently, the tower asked a landing aircraft to turn off at a taxiway before the plane had slowed enough to do so safely... well... the pilot thought ATC was "the law" so he tried to make the turn, ended up taking out a runway entrance sign and going in the ditch.
you as the pilot IN COMMAND have to make the right judgement call, and for a variety of reasons, what ATC advises may not be the right thing to do!
hope that explains my post.