Favorites Menu Problem

I'm setting up my new computer running Win XP, SP3. When I open a
link off my Favorites Menu, off my Start Menu, I notice that often the
new window doesn't get focus. The focus stays with the Taskbar. The
title bar of the new window remains gray and I get a blue rectangle on
the Taskbar. I have never seen this problem before, since the old
Win9x days.

I am wondering if there is a setting in a control panel or the
registry that controls giving focus to new windows opened off the
Favorites menu?

Thx ...
Henry