I don't know about your kids, but mine are constantly phrasing questions in the form of demands. "Mom, may I please have some water?" has become "WATER!" To say that it drives me absolutely crazy is to underestimate my rage.
But instead of freaking out on the ungrateful, lovely children, Chuck and I simply respond to them, "That is not a nice question." It doesn't tell them what to say. It doesn't tell them what's wrong with the way they initially "asked." But man does it work! Sure, I've said it about a million times in the past two weeks, but it works. And in about ten years, I'm sure all our hard work will pay off.
P.S. While I'm talking about my children, take a look at this awesome school work by Rhett. I love it.