This is a hard one. My DD5 is so bad with this that she won't pick up a story in the middle if interrupted, she insists on starting at the beginning again. She is a picky eater, picky about cleanliness, won't read out loud if she can't glance first to make sure she knows the words, etc.
I haven't figured it all out yet, but being patient, and talking to her about how the world isn't perfect does help.
I have a dent in my car. I pulled over one day and started pretend crying that I'd have to abandon the car because it wasn't perfect. She laughed and seemed to get my point.