<Silent Bob mode>
Thorfinn Fumbleweed. Thorfinn was a Kender thief in the first party after we upgraded from Basic D&D to AD&D 2ed, along with myself, the Bard, a Paladin and occasionally a ranger. Like a typical Kender, Thorfinn was an annoying character, but we all loved the guy that played him and he was pretty funny just the same. He had so many mishaps with greek fire oil that he had commissioned the local tailor to make him a fireproof cloak (but that's another story for another day... needless to say, a Kender without any hair is a funny site).
Thorfinn thought he was invincible. For a thief, he did an awful lot of charging in to battle and, I must admit, he wasn't too bad a fighter (mainly thanks to a good CON and some lucky HD rolls). Our DM didn't mind throwing us the occasional encounter that was beyond the level of the party, often with the aim of testing our tactics... in all fairness we became damn good as a result. I've won some tough battles with the help of low-level spells like Grease, Sleep and Levitate.
Unfortunately, Thorfinn didn't always understand how the DM operated and sometimes charged the most insane battles at ridiculous times (heck, these foes *must* be beatable, the DM wouldn't put them there otherwise). He charged a party of camping ogres when the party only consisted of himself and my Bard (both only 4th level at the time) and then wondered why we ended up battered and bruised in a burlap bag. On one occasion, fleeing a cave of Draconians, he decided to turn back because he felt we hadn't finished the adventure properly. He had only 1hp and no healing left.
The DM was weak and gutless and somehow Thorfinn always lived although he was often humiliated. But he never learned. And it wasn't just the character - it was the player. The same guy did the same stuff in different campaigns, in different game settings playing totally different characters. He certainly wasn't above pouting if things didn't go his way, so it wasn't as if he didn't take his gaming seriously. I gotta say, it drove me crazy because it forced our encounters to develop a slightly sour flavour - among other things, I often suspected the DM was fudging rolls.
The point (I'm getting there), is that some players never learn. They don't want to learn. And besides, as some other posters have pointed out, it really isn't your role to "teach" the guy a lesson. Give the guy the necessary 'fair break' (ie, a warning about the power of his enemey) and then let the game flow. If the rest of the party want to dive in and help him, then they'll suffer the consequences too. However, I suspect the rest of the party has enough sense to take some of the less-than-subtle hints and will eventually abandon the Paladin to his death. And despite the pouting you'll endure, it will probably be better for you in the long run.
Trust me, you don't want to end up DMing Thorfinn Fumbleweed.
</Silent Bob Mode>