I create the game world and I let the players go where they want. That wizard wanted to go to the tower. The local PCs said it was a bad bad place to go and went on to the mission they were hired to do. If a player wants to do something like that I will not say no, but he better be ready to deal with the consequences.
I have never had a complaint from my players on my DMing style and they all seem to have fun. Sometimes the luck of the die roll does save them. Sometimes I give them clues like a kobold named Killit Kwik who they let keep its wand of fireballs.
When Neverwinter Nights 2 is released I am thinking that I should recreate that adventure area.
*tee hee*