In Finding Nemo, Dory and Marlin find themselves in the middle of a school of jellyfish. Marlin decides that the best way to get ditzy Dory out safely is to make a game. "You can only touch the tops," he explains. "Not the tentacles." "Something about tentacles, gotit, let's go!" shrieks Dory as Marlin laments "not 'something about tentacles,' it's all about the tentacles!"
I have frequently noticed that children tend to hear what we say, but only the key words. So "please don't jump on the bed" comes though as "[wa wa wa wa wa] jump on the bed."
Even when they know that you'd rather they didn't, the idea is so firmly in their mind--and in a parental voice even--that the behavior is nearly irresistible.
When we stop and think about it, it's not hard to realize that focusing on "dos" is liable to be far more productive than focusing on "don'ts."
So rather than saying "please don't jump on the bed" try saying "please come walk on the floor." They may not be excited about doing it, but mentally it's easier to process, and less distracting.
At the risk of over-explaining, I'll share a couple other examples:
Poor: Stop splashing water out of the tub, it's all over the floor.
Better: Let's keep the water IN the tub!
Poor: Don't get out of bed again
Better: Stay in bed and go to sleep
Best: Please stay in your bed and lay still, I'll put on this quiet music/audio story for you
Poor: Stop poking your brother
Better: Be gentle with your brother
Better: Why don't you go [away from your brother] and do ___
Better: What have you done today to show your brother that you love him?