Yes, I've dealt with that too. It's very annoying.

One technique which has sort of worked for me is to just thank the person and then ignore what they say. When they complain to me that I didn't do what they told me to, I thank them again, but still continue doing whatever it is I am supposed to be. I might say that a supervisor told me to do X and they should probably talk with that person.

I guess I just try to deflect as much as possible. That really is super annoying.

Another thought - have them show you how to do what they want. In really gross detail. Ask a lot of annoying questions. If the cost to them of bossing you around is high enough, they might stop doing it.