If you conceive to build a perpetual motion machine then you will have taken the first step. The second (more difficult) step will be to conceive how a perpetual motion machine might actually work, or to come up with a plausible way of re-writing the laws of thermodynamics.
The point of the quote is not some wishy-washy "you can if you believe you can". Rather, it might be phrased better as "If you have the vision to see how something might be achieved and the drive to actually achieve it, nothing can stop you from achieving it".
It's not about "just think and you can do it." Vision is key. If you can't conceptualize how something could possible be created, then you're not going to be able to do it, but being able to first conceive the idea takes you to the next step of actually attempting to create it.
Lots of people conceive of ways in which a perpetual motion machine might work - it's why so many people have tried to patent them that the US Patent Office has a specific ban on perpetual motion patents. They don't work, of course, but it tends to require a deeper level of knowlege to figure out why exactly (for instance) any of the magnetic perpetual motion machines won't work than it does to conceive them in the first place.
The point of the quote is not some wishy-washy "you can if you believe you can". Rather, it might be phrased better as "If you have the vision to see how something might be achieved and the drive to actually achieve it, nothing can stop you from achieving it".