“Okay. How are you going to achieve that?”
The nice thing about pen & paper RPGs is that they can model pretty much anything, given an accommodating system and a group that collaborates well.
The challenge in a situation like yours is that the players are thinking about results and haven't yet considered the means of reaching those results. I might say “I wish I could speak Japanese,” and that would be cool, but it wouldn't just suddenly be true. Whether in reality or in an RPG, to get from point A (not knowing Japanese; being a priest with a fire horn; being a mortal centaur warrior) to point B (speaking Japanese; having absorbed a fire horn's buffed power; being a vampire) requires a path.
In my experience, when someone states a goal in an RPG that seems impossible right now, it's usually not that they want it to just instantly be true. Usually they're stating a desired goal and haven't yet thought past “Ooh, do you know what would be cool…?” and started thinking about “Okay, so how can we make this happen…”
So ask them. “How do you want to go about pursuing that goal?”
Give them situational context
Tell them they aren't in a position to do that instantly, but that there might be ways in the world to achieve their goal. Then ask them — preferably by addressing their character — to describe what their plan is, or what their first step is.
You: Okay, so Pholus, you want to become a vampire. Cool! How are you going to go about that? Does Pholus know anything about how vampires are created?
This gives the player two things:
- It's theoretically possible, but you're not going to just give it to them.
- It signals that the path to their goal goes through the game world, not directly through your permission.
This redirects the player from negotiating with you as a person sitting at a table, to being a controller of a character looking at the possibilities in the world around their character.
Player: Uh, I'm not sure…
You: That's okay. Pholus still wants this, so what's your first step in learning how to become a vampire? Do you want to consult with a sage in the city?
As the player responds, you respond and you start building together ideas about how the character can approach the problem and develop a solution. As you continue, you end up playing the character's quest to achieve their goal. They go to a big library to research, but get told that only scholars with a letter of introduction may visit the inner library (where the forbidden texts just happen to be located). The thieves guild forger wants the party to bring them a gem being transported in a caravan next week, on the road to the south. The legend of the Vampire King leads them to the Misty Peaks in search of the ancient dwarven Heartslayer sword. The ghost in the ruins wants them to destroy the vampire that lives in the body of their former mortal lover. Pholus learns that the process of vampirification invovles losing his soul and letting in a blood-demon to replace it. The Vampire King won't allow spawning of new vampires in this age, so they have to go find a rebel vampire enclave…
And so on and on. At every stage in this process there is epic adventure to be had. And at every stage in this process Pholus' player is implicitly facing the question “What are you willing to do for your goals?” Does becoming an initiate of ScholarGod involve too much work? Does forging a letter give the thieves guild too much leverage on him? Does he want to lose his inner being and have a demon inhabit his flesh shell?
Give players the chance to follow their dreams, while asking them what it's worth
You don't have to go to the example extremes above. That's just the kind of drama I like to create around these kinds of quests. But at every turn, give them a problem to overcome, which can be overcome — if they want to. Don't make it really hard, just make it a choice (and a reasonable degree of easy or hard, based on the situation).
This way you turn “I want to do [amazing but very ambitious thing]” into adventure for the characters, instead of aggravation and a source of division in your gaming group.