Sometimes you don't get control over your day: when I worked at a financial services firm, my boss would come in with a mutual fund trade that had to be done RIGHT NOW, before the stock market fluctuated again. When that happens, it's often difficult to remember what you were doing before the interruption.
Time management technique to help: Keep an extra inbox-style tray on your desk. When the interruption occurs, sweep up everything on your desk related to the current project, and pile it in this tray.
While you're working on the "interruption" task, you'll have a clean desk and plenty of room, without getting the other task mixed in.
When you've finished with the interruption, all you have to do is pull the paperwork for the original task out of your tray. Because you didn't have time to finish up what you were doing, you're more likely to remember the next step you needed to do, and get back into the flow. (This is related to the Stop in the Middle hack.)
Sometimes, if your boss is really bad, you'll have your "interruption" task interrupted with another one! In this case, refrain from strangling your boss, put the "interruption" task on top of the original task in your stack tray, and begin work on the "interruption interruption" task. When you finish, your work is all still there in the stack tray, presumably in order of priority.
Doesn't sound like you? Go back to Time Management Hacks and look for a time management technique that fits you better.