Day dreaming is a sequencing of ideas or thinking.

I would advise you to start this when you are alone. It surely benefit you, however, always cross check what you are thinking.. and best place is google. :)

It is due to lack of interest that you start day dreaming. When you are in classes, meetings and presentation. Prepare yourself and generate interest by researching more information about them, before attending them. Also, fatigue and less or no exercise can also be the causes.

Your focus is not strong enough to keep your mind off distractions causing daydreaming. The solution to this is Mindfulness training. It has scientifically been shown to significantly improve the ability to focus on relevant tasks.

Daydreaming is a way in which your subconscious mind tells you about things it is concerned about, that you may not be completely aware of (with your conscious mind). There are techniques to actually direct this natural activity of the mind a little bit and make it quite beneficial. Yoga was mentioned. Any kind of meditation will help. The "modern way" might be Self Hypnosis. I personally attended a short introductory course on this technique and read a couple of books and am quite satisfied with it. I don't have any reference in English for you, but I benefited mostly from a book in French: Petit manuel d'auto-hypnose, by Jean Doridot.

I think all the other answers brushed on the topic of having things in your mind that it won't let go, but for some reason no one went and made the obvious association to GTD.

David Allen speaks of the mind like water, which is the state where you are unconcerned with everything you have to do, all the goals of your life, the projects, responsibilities and the fact you're expecting a new hip pair of flip flops to arrive by mail any day now.

That is so because all of those things are captured safely in an outside system you trust, so your mind finally feels like it can let go. And day dream less you will.

Still, everything said and done, daydreaming is often an indulgence--and can be immensely pleasurable. The thing is, we often day dream instead of doing the things that would turn the dream reality. So every time you catch yourself doing it, just ask yourself: wouldn't I rather be actually working on one project that I love, enjoy and has utmost importance to fulfill my dreams, than just sit here and think about doing it? If you're on a meeting, either you're wasting your time (then leave it at once) or you're wasting your time (then just get it over with as soon as possible).

And then the very notion of "mind like water" has everything to do with meditation, yoga and martial arts (like Allen himself). So those help too.

I believe I'm kinda preaching to a choir here, but since no one had mentioned, there it goes.

Take note of the subjects you are dreaming about. Lots of friends? success at work? I find in my own life that I daydream about things I don't have in reality. I'm trying to note down the things I day dream about and try and find a way to fix this things in the real world. My belief is, that if you can make your daydreams a reality, then you'll have nothing to daydream about.

Daydreaming is important and how we make connections and build schema. At the same time it is important to know the best time and place to indulge it. Often times we do not need to travel down the entire path with our mind. We just needed to take a moment to make a connection. The full exploration of a daydream helps us make the connection stronger but it isn't necessary in order to make the connection.

One tool that I've seen recommended to students when reading is to make side comments in the margins or in a notebook when there are thoughts and connections that you want to make. You don't need to explore them completely, just write down enough so that you will know what you were thinking when you started day dreaming.

You can then use these for meditation and daydream points to think about at times that are good for daydreaming, such as in the shower, walking between classes, on a drive or the bus, while eating alone, or before bed.

As soon as you notice you are daydreaming, just write down the general topic and then refocus your mind back to the speaker or the task at hand knowing that you are not "shutting yourself up" but rather "delaying the daydream til a more appropriate time."

Focus is like a muscle it takes time to build. In our society we often bounce from one thing to another and don't focus very well. Often times it looks like we are focusing because we are working on a task for a reasonable period of time but if we broke down everything we were doing we'd see we are actually multi-tasking which really means quick-switching between tasks. If this describes you then meetings and lectures may be hard because they are mono-task environments and that extent of focus may be difficult. Practicing doing only one thing at a time and doing it with all your concentration will build this skill. For people who are compulsive multi-taskers starting with 5 dedicated minutes may even be a struggle. Just like with an exercise routine though, starting at an approachable level and building from there will help with the skill of focus.

The other option is that you are bored or uninterested in the topic. In this case I have found that the advice "fake it til you make it" actually holds some validity. When I pretend that something is very interesting it generally becomes a bit more so.

Daydreaming, especially when learning, is a natural response to processing what you've learned. You associate it with other ideas and come up with some creative response. I've been doing creative work for a while and I value those daydreams as a source of creativity.

Write it down. The mind values those thoughts and tries to hold on to them. I rarely ever daydream about something I have written down somewhere.