Yeah. I had the same issue. It's been talked about in the forum here. Do a search or read here:
http://forum.arcadecontrols.com/index.php?topic=76882.0I solved the same issue by installing the latest BETA version of MALA.
MUCH MUCH better with the whole focus problem. The focus issue seemed to be one of the main issues for it's existence.
I'm using Win 7 - 64 bit.
Another option is Empardopo's program "AllInOne" where you can tell MALA to keep focus on certain program's (emulators, Mala, etc).
Again, the BETA fixed it for me...that's my suggestion. Good luck.