I like the old "Who died and left you boss?" myself. Or a polite, "I'm busy. Could you send me a memo?" Or these days an email, so you can delete it and say you never got it; or tell him to send you a tweet when you're not on Twitter. But a memo would be best, and then you could forward that to your real boss and say, "Joe gave me this assignment last week and I thought I ought to check with you before I took any further action."