use TweakUI, choose "prevent applications from stealing focus".
http://www.microsoft.com/windowsxp/pro/downloads/powertoys.asp
there is a tweakUI for XP with SP1 and an older one for XP without SP1;
be sure to use the correct one. The link above is for the newer one;
you'll have to google for the older one, it's still out there somewhere.
[there was one for win98 too; don't use that one w/ XP at all]. look here
too:
http://aumha.org/freeware.php