Whenever you stop in the middle of completing a task, take a moment to jot down exactly what you'd planned to do next and how long it will take. For example, "Write closing paragraph: 30 minutes." If you're working on a document, put a bright-colored Post-it on the exact spot where you left off. This will make it easier to get reoriented.
Finally, don't respond to any interruption without first asking yourself the million dollar questions: Whom will you let down by saying yes? Did you also make a promise to someone else? Whose disappointed face can you tolerate least—the person's in front of you or your boss's?