It has to start off with a general plan. Just a general one. These things can never be linear. Even less so than a p&d game. If the char does something different, if you know what hte final goal is and the events that lead to it, then you have the NPCs react in a way that adapts to the new problem with getting to their goal.
If the character does something that takes him completely away from the main plot, (say.... The Grey Knight decides to sail off for Greece, or something) then they don't see the plot unfolding. THey interact with people, you improvise new characters. Let him run the show. He can shop, visit, do whatever, but he's not making any headway on the conflict. the player will either eventually realize that he's off course and head back (meaning he has to learn what's changed, which can be fun) or he'll continue having fun doing what he's doing. As long as you both have fun, it matters little that he doesn't come back to the plot. If the player's the only one having fun, you just stop posting anything that happens to him.
And like is beign said in TTT, everyone needs an orientation period, esp the GM. THere should be cake stuff until the GM has a fair idea how the PCs will react to situations in the actual game, not just guesses made from char creation. After that period, be easy on them. DOn't let them make progress, but don't kill 'em. THat's not fun.
There does come a point where the player just isn't working with the story. At this point, you have to tell them straight out. "Your character doesn't fit the story." If they don't work with you, you may have to cut them out.
As for warning they're in trouble, throwing lots of danger doesn't always work. You have to accompany it with meta-comments about the consequences of the action that the character might see. If they still don't respond, well, you may have to kill off a character. This is, of course, long after the breaking in period and at least three warnings about hte destructive pattern. If the player chooses to ignore you, well... the consequences have been stated. They chose them.
I think you eventually have to play hard ball