I think every kid has had one time or another where they wanted to take a toy home from a friends house, or buy that ONE toy from the store. (those darn check out counters with their little last minute kid temptation toys!!!)
Something I have done with my kids since they were old enough to want anything to the point of a full blown tantrum, is tell them we are not getting the toy and that they need to now say goodbye to it.
Really! It has worked with my kids for three years now. Any time they start telling me how wonderful a toy is and how much they want it, I just acknowledge how wonderful it is and then tell them they need to say goodbye to the toy so we can get going. Pretty soon, they are actually EXCITED to say goodbye to the toy and head out with me. ha ha! (tricky tricky aren't I!!!)
It has even worked with candy and snacks. "Say good bye to the Dora fruit snacks!!" and off we go. No tantrums, no screaming. (But if they grow up talking to their food, you will understand why. ha ha!)
And THAT is the only way I am able to take FOUR kids ages 4 and under, to the store and still be alive when I get home. ;)