How to respond to someone when they do this?

Question

At work, I am standing there talking to a lady who works with me and jsut walked into her office.
2 people at different times come up and start talking to her, regardless if I am there or not.
I think its kind of rude and just walk back to my desk, while they still talk. The lady I was talking to and I have not even finished our conversation.
Why do people do this and how can I handle this?
This happens a lot to me even outside of work.

Answer 1

just say, hold one minute please, we are almost done.

Answer 2

Just say, "Excuse me, we were talking," and if that doesn't work elbow them in the side (kidding). You have to do something. Don't let people walk all over you or they'll just keep doing it.