Wren,
My DD is now 6 and we've been having the same issues. She's a girly girl who loves to wear dresses and skirts. She thinks nail polish is great and is constantly asking why we won't let her get her ears pierced, wear high heels and make-up.
I'm okay with some things; lots of skirts, nail polish, jewelry. I'm not okay with others; shorts with words written across the butt, super skimpy swim suits, super high heels, make-up, etc. (Ear piercing is in the "you need to be old enough to be responsible for taking care of it yourself" category.)
When she asks why, I sometimes explain that those things are for people who are interested in having sex. She knows enough about sex to know that it's what causes babies to be made. (she's very interested in prenatal development and has been for years.) She also knows that even when she goes through puberty and may be physically capable of sex, it's "not a good plan". (As a side note, she asked about a 15 yo friend, "is he going through puberty now??")
Other times she tries to negotiate by bringing up the peer card, "Her Mom lets her do X." At that point I just answer with, "That's okay, she's not my daughter."
As a birthday gift, she was given her first Barbie this weekend (we've studiously avoided them 'til now). We've already talked about how ridiculous Barbie's heels are and that it's rather silly that she can't stand on her own.
I have no idea how long this fascination will last, but I want her to know that she can talk to me about things. I try to have an open dialogue about my reasons. Really, I can't control her. I have to give her the tools to make the right decisions for herself.