My First Week as a Junior Software Developer

There is a fine line between helping a co-worker and doing their work for them.

I would say the idea of having a conversation with him that you need to finish your work before you can help him might come off as self-important and arrogant, especially since you seemed to set the precedent when you started watching his screen and asking if he was having trouble.

Perhaps, a better method of dealing with this is to not drop everything when he asks for help, and delay him until you're more available. During that time he might start seeking help from others anyway.