Something is loading after Mala and taking the focus in windows away from it.
Search the forums for "Mala focus".
On my own setup none of those solutions worked because I had sound card software that still loaded so late it would take the focus away. What finally worked for me was unchecking the option in Mala to start with windows and instead create a shortcut to Mala and place it in the windows startup folder. It was enough to make Mala be the last thing to load (at least until I decided to include Steam games)
If you have other programs on delayed start, antivirus or other programs that automatically update, they could still steal focus. This is why some people prefer to disable networking and uninstall anything not needed for the emulators.
I have Steam on my current cab and a lot of the time a steam update steals focus from Mala.