Re: Activating and Focus...
By design, if the second window is not an MDI child of the main window, then they will gain / lose the focus in a mutually-exclusive manner (only one can have the focus at any given time).
The docked toolbar cannot be an MDI child, as it can move outside of the main window; there must be some other technique here, perhaps unique to control bars. Why not create your tool window as a control bar with the tool window style bit set? I don't know if this would work, though.
Why does it matter if the main window loses focus anyway?