I have the same problem, here: IE steals the focus from the current window as soon as the page loads. I open several IE windows and, as soon as each loads, it steals the focus from the active one. I can't tell you how annoying it is. I tried the registry hack, as well as TweakUI itself, to no avail...

If you have an Orkut account, you can reproduce the problem:click on the "scraps" link of a profile page and, before the page loads, switch to another page on another window. You'll witness IE steal the focus back to the first window as soon as it finishes loading.

I suspect it has to do with edit boxes gainning focus, but I can't confirm. Notice that IE will steal the focus even if you're typing something on another window. If the thing you were typing was a password, it will appear as clear text in a text box in another page as IE switches the focus between windows...