Reminds me of a advert where a guy's girlfriend is talking to him about something (Can't remember what), she says "So, what do you think?" - he just replies, "Uhh.. terracotta?".
On a more relevant note, I have a habit of replying to a question and never realising that I was actually even asked anything ("But when I asked you earlier you said yes?" - "I did?"). Other than that, which only happens occasionally, I think I can generally listen to people without much difficulty.
I can also copy sentences blindly. Recently, someone asked me what I wrote and sure enough I told them, then thought "Huh? I don't remember writing that..." (That paticular example was in school, so it probably isn't of much significance)
As for advice.. I'm not too sure. Maybe get them to tap you on the shoulder or something, before they actually start talking? That might help things temporarily, but I guess you just need to experiment.