KPSU gives over-the-air interviews. These are sometimes scheduled on very short notice. If someone calls and asks for an interview, they have also probably just arrived in town. When they call, make sure that they have good directions to the station. Then try to confirm a time when their interview will begin.
This gives you both time to prepare and to get the listeners ready for the interview.
If you are stuck with an unexpected interview, here is a suggested way to go about it: Play a few cuts of the artist on your show before they come in, and continue to promote the interview with every air break. When the band arrives, don't worry about them too much. They have done this many more times than you have. Try to ask them preliminary information. This includes where they are from, what their names are and what they play, etc. Try to complete your programming obligations (underwriting, PSAs, etc.) before the interview starts. Start out by announcing who they are, where they are from and why they're in town. Remember that the listener will probably not be able to keep track of the sudden plethora of different voices so continue to address the members by name.
Try to keep the questions open-ended. You have the rest of the term for people to listen to you and find out what you know. You want the band to talk as much as possible. Avoid interview cliches like: "Why do you play the (whatever)...", "when did you start to play the (whatever)...," or the old stand-by, "who are your influences?" Instead, try: "If you could tour with anyone, who would you tour with?" or "What do you do when you aren't playing in the band?" Once or twice, or when you hit a lull, take a break from talking and play a few more cuts of the band's material.