I've recently had this on some laptops I've setup at work. TweakUI didn't do much, so I had to track it manually.
Turned out it was "utility.exe", a process that's installed with a (crap) Belkin PCMCIA wireless adapter. I've extracted the drivers from the OS since then, and installed them manually. No utility.exe, no focus losing.
Use Process Explorer to keep an eye on what's stealing focus. There's no obvious way of doing it, just keep it open, and have a look around for very small CPU spikes from certain processes. It bugged the hell out of me.
Alternatively, killing explorer.exe, then starting it again seemed to sort it too, but that's obviously not ideal.