Thank You But Please Come Again

I have often been hopelessly lost and stopped someone to ask for directions only to then blatantly not listen to a word they say. There appears to be some impulse within the brain that creates interference the moment your respondent begins to speak. You helplessly and unconsciously become swamped with an avalanche of erroneous data. The person’s lips stop moving, you mutter “thank you” but you know you are every bit as helpless as you were ninety seconds previously. What is the etiquette in this situation? I mean is it polite to say "Sorry buddy could you run that by me again my head involuntarily became submerged in a montage of the top ten Champions League goals followed by a five minute chunk of dialogue from Entourage. Honestly I’ll listen this time, next left was it?"