Yes, you read that correctly. It’s OK to say no to your boss; the key is in how you do it. Saying "no" can make you sound contrary, which is why you need to come up with creative alternatives. And saying "no" can even be difficult when a peer asks you to do something, but it will save you pain – and maybe even your career– in the long run.
During your initial tenure you should always put in extra effort and dive into your work, but you need to start setting limits. If you work 80 hours a week the first six months, your boss will always expect this of you. Naturally, the amount you're expected to work depends on your industry and company, so take that into consideration when establishing boundaries. If you’ve been asked to do something unethical or illegal, you should address it immediately with human resources.