Actually, this is pretty easy, no Registry tweaking is required.

There's a tool for this purpose, TweakUI. A good explanation with details is available at Annoyances.org, but here's how you solve this specific problem (partially quoted from my own article):

The semi-official tool for modifying the user interface is TweakUI. It comes from Microsoft, but is officially not supported--that does not diminish its usefulness. Download it to a convenient place; if you are unfamiliar with downloading, save it to the Desktop. The file is a self-extracting Zip archive; double-click the icon. A small window pops up on the desktop with the extract directory presented as C:\Windows\TEMP. You can leave this as-is (bleah), or change this to just a period, a dot (to Windows, a single period means "current directory", so that's where it will extract to), then click on the Unzip button. After extraction, one of the icons will look like a little notebook and be titled tweakui.inf--right-click on that icon and select Install from the pop-up menu. This will bring up an installation window and a help window. I recommend that you at least look over the help file for a bit of orientation--but my instructions will be pretty explicit, so you shouldn't have to look too closely. When you close the help window, the installation completes.

Once TweakUI is installed, it becomes part of the Control Panel, so that's where you go to activate it. It's a very handy tool, but a little goes a long way, so be careful. It usually shows up in the bottom row of the Control Panel window, right next to the Users icon.

1. Double-click on the TweakUI icon to activate it, then go to the General tab.
2. Just below the scrollable window with such check-box selections as Always show keyboard indicators is a line that reads Prevent applications from stealing focus.
3. Check that box, click Apply.
4. Done. You may want to look over the other functions available if you want to further customize your user interface. Click OK when finished.