Johanna Rothman, a dear friend and one of the most excellent management consultants I've seen, has a post about managers who won't take no for an answer. Read it, it's interesting!
But I'd like to approach the same issue from a different angle - Instead of looking at why the manager wants something, let's try and look on why we say "No" to that something (This is a good place to try the five whys technique).
Usually we'll find that we say no because the requested item might be of lower priority and could interfere with much more pressing items. Sometimes we'll just feel like the manager is asking fomr something just because he\she can - and we don't like people wasting our time.
Instead of saying no, let's let the manager figure out if a "No" is indeed in order. WHat you'd need for this is at the very least a Visual Task board or an excel file with the list of tasks you're doing and backlog of items to be done, ordered by priority.
Next time the manager comes in and asks for something in the middle of something else, drag them over to look at the task board. Now, create a new post it note with the task at hand, and ask thema simple question:
How important is this?
If they say "I'd love to have it today", ask them :
OK, that means we will have to stop working on one of these following tasks (point to the "in progress" column). Are you OK with us stopping to work on [pick one of the cards in progress]?
If they say yes - great. Not only did you find an important feature to work on, you've also let the manager know the cost of doing that feature: Stopping to work on another feature. But what usually happens is that the manager soon realizes that this cost exists, and may not want to replace an existing in progress task - since these are all pretty important as well.
The manager might say "well, no, it's not that important".
This is the point where you ask them to actually place the card in the "TODO" column just above one of the other tasks in it. They get to choose which is more important. More often than not, the task at hand will not be important enough to trump any of the existing "TODO" cards, so it will be at the bottom.
Now you've gained something else - the manager has agreed knowingly to delay that feature request, since they know its true cost.
Visual Task boards help you teach your manager when to say "NO' all on their own.