There's no feature in our software that will prevent this (technically it's called "grabbing keyboard focus") -- that is simply the way the software behaves.
If you use XP, installing the XP Power Toys "TweakUI" module might do it. This package, from Microsoft, has a feature under "General"->"Focus" that prevents applications from stealing the focus. You can download it from:
XP PowerToys
It's free, and I think this will make the software behave in the manner in which you'd like it to work.
Rom