While it is generally agreed as a rule of thumb that fewer clicks are better, a more important metric is considering how much the user has to think to complete the action. Ten thoughtless clicks are a great leap better than having to perform one confusing click.
As long as the process is simple and requires very little thought, the number of clicks requires is almost a moot point (although more than five or six I would guess is usually excessive). If you can reduce the number of clicks without sacrificing (and perhaps even enhancing) the ease of use, by all means, do it. If reducing the number of clicks makes it more difficult, don't do it.
EDIT: The ideas in the post above are basically copied from the book Don't Make Me Think by Steve Krug. He talks about the common idea that "it should never take more than X clicks to get anywhere on the site," and how this methodology is flawed because clicks are fairly inexpensive for the user, but stuffing everything into fewer pages to make fewer clicks is very detrimental to the user experience.