First, you could try to change it using tweakUI, heard results are patchy though. Available from
here
If that doesn't work
** usual warning about how editing the registry could mess up your system good and proper (but i'm sure you know what your'e doing.) **
have a look
here
just checked and my reg settings are the same as those in the example in the article.
i'm using win2k which of course doesn't steal focus (well behaved windows shock)
hope this helps and let us know how it goes.