I feel that I should add to the conversation. It seems that there are three common replies that we all have heard:

"How did you do that?"
"Where did you learn that?"
and.. of course...
"Do It again!"

I have noticed that many people will say these things as a reaction, instead of a genuine request. Take it as a compliment, not as an irritation. "How did you do that?" is just usually another way of saying "That was great! I have no clue how that was done, but I am impressed." Remember: If they ask about how it was done, chances are that they were entertained.