I have a bad problem about not being able to multi-task effectively. I've learned that if I get interrupted, I'll tell the person to give me a minute or so to finish whatever I was doing up to a point that is easy to come back to. Otherwise if I don't, I tend to just tune that person out, so I find it's less rude to stop them mid-sentence and have them wait till I finish than to tune that person out and give them the impression that I had heard what they felt was important enough to interrupt me with.