I'm running 3darcade, and sometimes I kind of miss the simplicity of mame32.  I think it was really easy to go straight to the game I want, while also letting me flip through the list and find something random to play.
I can't tell you why you're losing focus, but I can tell you that it doesn't happen on either of my XP machines.  Try ending tasks until it doesn't happen anymore.  End one, play a game, see if the focus goes away, repeat.