I never had this issue, but I found a site that provides two .vbs programs to edit (one to change and one to undo) the registry in order to fix this issue. I looked at them and did not see any malicious code, but use at your own risk. I guess you could also look at the code and do the registry changes manually (backup the registry first).
http://www.kellys-korner-xp.com/xp_tweaks.htmJust search for focus on the page.
-tito
VBS code for registry change follows, in case any one cares to review it:
Option Explicit
Dim WSHShell, n, MyBox, p, itemtype, Title
Set WSHShell = WScript.CreateObject("WScript.Shell"

p = "HKEY_CURRENT_USER\Control Panel\desktop\"
p = p & "ForegroundLockTimeout"
itemtype = "REG_DWORD"
n = 200000
WSHShell.RegWrite p, n, itemtype
Title = "Applications are Prevented from Stealing Focus." & vbCR
Title = Title & "You may need to Log Off/Log On" & vbCR
Title = Title & "For the change to take effect."
MyBox = MsgBox(Title,4096,"Finished"
