How to respectfully challenge advice
For the general question: One answer lies in the question itself. Challenge the advice with respect to the advice and your advisor. That is, appreciate and acknowledge the experience of your advisor (not necessarily in words, but at least "internally"). 

Moreover, give some reason. "Thanks for your advice on the topic, but I would like to do...  because..." I feel like "I'd like to do it anyways" is not the best reason...