The “No” answer starts long before the question is asked.
My approach to time management, and consequently being able to say “no” to your boss is based on two skills: psychology – specifically the psychology of influence – and project management – the art of planning and managing work.
To say no to your boss, you must take the proactive step, long before, of managing up: setting up a time once per week, for a huddle, in which you can inform your boss as to your workload and timelines, including personal/family commitments. Using a visual tool like a Gantt chart will help as well. Although a manager seems to have the right to ask people to take on extra work, physical visual proof of busy-ness is a powerful tool of influence. It gives you leverage.
The second benefit to regular huddles is the development of a relationship. You can build greater trust with your manager once s/he starts to know you better. Trust and relationship also go far in the negotiation process.
Third, be prepared to offer an alternative. Your Gantt chart/calendar and your positive relationship should go far in terms of offering a time other than the weekend to take care of the pressing task. Often, managers themselves have poor time management skills and think everything must get finished right away. If you can offer a spot of time next Tuesday afternoon, that might be sufficient.
Fourth, if this type of thing happens often, it’s time to plan for it in advance. I call this crisis management. A request to do extra work over the weekend is a crisis. If this is a regular occurrence, then it should be scheduled into your calendar – as in, 2 hours per week are reserved for the boss’s next crisis. If you know it’s going to happen, then schedule for it now.
Finally, ask yourself why these last-minute requests are happening at all. Again, this goes back to poor planning on the part of the boss. Use that same huddle to help project plan his/her priorities so that the urgency doesn’t have to happen at all.