Look slightly distracted, and say "Sorry, what did you say?". Keep examining some document while he repeats "Having fun yet?". Then give yourself a little shake and put the document down, apologise again, say "OK, this time I'm REALLY paying attention. Now, what was it that you were saying?". If he's thick-skinned enough to repeat it a third time, then just say "Yeah, yeah, sure" very shortly, and make it obvious that what he's saying still isn't sinking in. Ackshelly, the poor guy probably thinks he's being friendly.