Hi Jake,
First of all, the question was not rude. The interviewer has the prerogative to ask questions, even if the interviewee might find them somewhat embarrassing or rude. As an interviewee you need to show some resilience when facing hard questions. Regarding the question itself, if you didn't have any specific preference towards the company you're applying to, you can answer that you applied to that company among others, out of interest in the position itself and not necessarily a specific company. Usually there is no reason to present preference to one company over another. Another option is to reply that you've applied to the company in question after receiving recommendations from friends about that company being a leader in their field, one that offers interesting challenges.
Yours,
The JobTestPrep team
[5/20/2009]