I wonder where Dorothy would be if she said, "No, I refuse to follow the yellow brick road." She would never have met the Scarecrow, Tinman, and Cowardly Lion. Would Dorothy remain in the land of Oz suffering a life of torment at the hands of the Wicked Witch? We all have the gift of choice, free will. What comes along with that gift are consequences.
While in the Witch's castle, Dorothy used her quick instinct to save the Scarecrow from being burned to a crisp by throwing water on him. Unfortunately, the necessary action cost the Wicked Witch her life. If Dorothy had not saved the Scarecrow she and her friends would have met their demise. She chose love over fear, courage over the outcome. Sometimes tough decisions make for tough consequences, but it is the reaction to those consequences that determine suffering or happiness.
Dorothy could have concluded her journey to Oz as a difficult, terrifying experience influencing her to become jaded and unforgiving. Instead, she praised the miraculous adventure where she discovered how intelligent, loving, fearless, and powerful she was all along.