Make sure you don't ever change your mind after you say no or else your son will harass you until he will make you change it every time he wants something.

If you punish him for having a tantrum he may think twice about having a fit in the future.

He'll grow out of it if you just ignore his behavior like it never happened. Just don't change your mind ever.

All the answers given so far have an element of truth to them. It is indeed essential that you don't change your mind despite your son's loud protest. This may involve behavior on your part that is akin to ignoring (after you already answered him once).  It is also possible to punish this behavior if its necessary. For a clear protocol on how to handle this kind of behavior, see the section in "Raise Your Kids without Raising Your Voice" that is called the "I-Don't-Argue-With-You-Rule." You'll find it in the chapter called "Rules to Relax By."