Well, you know, not listening and not following directions is part of a five-year-old's job description, I think.
However, it might help if you backed up and went in baby steps for a while. "Marcie, you're having trouble listening to me. So we're going to play a game for a while. Whenever I call your name, no matter what you're doing, I want you to turn and LOOK AT ME. Every time. Your eyes have to catch mine!" Then really make a game of it. Call her when she's nearby; call her when she's in the next room. Shout it, whisper it, sing it, growl it, say it like a crocodile, say it like a monkey. Do it for a few days until she seems to be slipping into the habit.
Next, get her attention and say, "Marcie, I want you to do *this*, do it well, do it quickly, and then come right back to me." Give her a job to do. Make this another game. Give her fun things to do, really helpful things to do, silly things to do. Plan a little list in your head in advance so you don't have to stop and think too long. Don't make her wait for you.
When she's back in that habit, you can bring it up to a more five-year-old level.
I wasn't a good listener as a kid. Come to think of it, I'm not a terrific listener as an adult - unless I want to be. Maybe I should do this to myself.
Your daughter could be not following directions for a number of reasons. She could be not hearing you, physically. She could be distracted. She could be VERY distracted. She could be in her own happy little imaginary world. She could be still in TV-land, if she's been watching the tube. She could be not really understanding your directions - maybe you're saying too many instructions at once, or saying them too fast.
At any rate, it starts with being attentive to your voice. I'm sure you're a busy mama and this routine just takes more time, but it's good teaching in the long run, and it works better than yelling.