Ok, I have solved it. The Sun Java Console is causing the issue. Here is the current state of my IE 6.0:

(I see that uninstalling Alexa doesn't remove the AlxTb BHO Class add-on. Why can't software uninstall when you ask for it to uninstall? No wonder it is classified as adware.)




Can the people who do not witness the focus losing issue please confirm that they do not have this add-on installed?

And, why is the Sun Java Console causing the focus to be lost in CodeGuru via Alt+Tab, but in no other forum?