If the copying process window is active then the copying will be faster. The strategy behind this tip is that windows by default gives more cpu time to the active application. I observed it when copying large amounts of data from one hard drive to another.

Its Right what you observed.
Because in the XP (or) any NT Operating Systems there will be process sheduling for current running process and applications. OS allows all these process to run simultaneously one bye one
but with of greater priority to that application that is active. And hence the application will get more time and processor share to get its job done.
you can change or reverse this setting in the following way
1.mycomputer properties
2.advanced tab
3.performance settings
4.advanced tab
5.processor sheduling.....

here select appropriate option..
then click ok...
now u restart the restart the system to see another different kind behavior
quite opposite to what u observed..