Even once a child knows that sometimes Mom or Dad has conversations that don't include him, he still needs to learn to tame his interrupting impulse. To help him along:
Clarify your expectations. Don't assume that he can tell when it's okay to break into a conversation and when it's not. Explain up front: "I'm going to speak with Mrs. Smith now. This is one of those times when you need to keep yourself busy."
Plan ahead. It'll be easier for him to entertain himself if you provide an activity he can do without your assistance. Have handy some play dough, markers and paper, or a small toy.
Avoid "because" statements. They imply cause and effect, which kids this age don't fully grasp. Instead of saying, "I want you to play by yourself because I need to talk to Grandma," give simple directions: "You need to play by yourself right now. I need to talk to Grandma."
Fortify him with some undivided attention. If he constantly butts in when you're trying to chat with other parents at the park, you might say, "When we first get to the park, I'm going to play with you. Then after you've gone on the swings and the slide, I'm going to talk with the other moms for a little while."
Be a good listener yourself. Family meals are a perfect opportunity to demonstrate that there's a time to speak and a time to let others have their say. Since kids sometimes interrupt because it's the only way they get a chance to be heard, make sure even the youngest at your table has his turn.