When one is confronted with a request to do something unethical and or illegal (they aren’t always one in the same) how does one handle that situation?

In the last 2 decades there have been glaring examples of ethical issues in finance (e.g., Bernie Madoff, ENRON). There are serious repercussions that are felt globally when there is used of misleading information and/or misappropriation of funds. In this discussion go beyond the impact and discuss prevention. When one is confronted with a request to do something unethical and or illegal (they aren’t always one in the same) how does one handle that situation? What are some of the consequences that one would suffer going through with such a request and on the other end not going through with a request?