Have you ever found yourself dancing with a man who, in his infinite wisdom, decides to make you the recipient of his vast tango experience, as he uses the tanda as an opportunity to instruct you?
Of course you have. All followers have.
So there is something you need to know: Attempting to instruct during a milonga is rude, and you should not have to put up with it.
And even if you do not mind, you should never encourage it. Because it is rude.
So how do we handle it? Well, you have a choice, depending on your level of tolerance, how much you like the leader, and whether or not you ever want to dance with him again.
1: If you like him and would like to dance with him again: "Can we just dance? I am really enjoying this tanda."
2: If you don't care if you never dance with him again, but you are not feeling particularly intolerant: Wait until the song ends, say "Thank you" and end the dance. Then don't dance with him again.
3: If you don't care if you never dance with him again, AND he has really irritated you: Stop dancing in the middle of the song and walk off, leaving him standing there looking like a fool. The advantage to this is that he will never ask you to dance again,
The last is the nuclear option. You should probably opt for either 1 or 2, unless he is a supreme jerk. And most leaders who do this are not supreme jerks, just well-meaning guys who should know better.
What you should NOT do is nothing. If you allow him to teach you on the dance floor in the middle of a milonga, you are BOTH complicit in an act of rudeness. Turning the milonga into a private lesson, even from the best of motives, bothers the couples around you, and disturbs the flow of the ronda.
And having said that, ladies, never NEVER ask for instruction during a milonga. It puts the leader in the awkward spot of having to refuse. If you need that kind of instruction, go to a practica.