My kid sees, and is exposed to, plenty of main-stream media (including ads), and toys, and such. Also he's in elementary school, standard public school, so he hears about plenty from his friends.
What you describe really hasn't been a problem for us, which likely just means I'm lucky to have an easy-going kid. Last year for the first time he was into wanting stuff for Christmas, and I just told him, "I'll add it to the list." We've discussed a few times that just because something goes on the list doesn't mean it will be bought. The list is a list of ideas/requests and we get some and not others. He seems cool with this and I rarely get pushbacks or complaints (knock wood). This year I've introduced the point that Santa (he does believe in Santa) typically follows the rules of the families he's bringing gifts too, so it would be very unusual for DS to get a hand-held video-game playing device of any type, even from Santa. Again, he's pretty much accepted this (I'd rather introduce this point up front than face it in disappointment on Christmas morning). I just present it as the way the world is, sort of how we don't have to like the fact that if we slip, we fall down (darn that gravity), but so it goes.
My son's pretty accepting of/enthusiastic about the thought that there are rules that shape how things work and how people behave, so that attitude of his (embracing rules) probably helps.
A quick comment to the OP: I don't think I'd tell my son "we don't have any money," even if it were true (not in our case, no idea in yours). If things are really tight, maybe OK to know that as a short-term kind of thing, but I have heard from so many adults about how their parents' money concerns (whether real or simply expressed) when they were kids really worried them as children. Plus, it's not really the point -- is it? I tend to emphasize decision making when talking to my son about what we will/won't buy, partly because I don't want him to think he needs to be worried about money but also because I think it's more in keeping with the values I'm trying to impart. So I'd be more inclined to say something about it not being a priority for our household budget for now and perhaps talk about how we prefer to spend money on other things with some examples of things he enjoys (e.g. camping trips) thrown in for the sake of illustration. FWIW.
At 5 I started giving my son an allowance ($2/week, which in retrospect is too much), not tied to any chores or anything, so though the issue doesn't come up much, I do tell him he can buy things with his allowance if he wants very much to have them and occasionally he will do so. This issue hasn't come up yet but when it does I'll tell him about allowance the same thing he hears about Santa -- it's still got to be within house rules, so he cannot buy things he's not allowed to use (e.g. hand-held video game device).
