Opening New Application Switches Focus

When I am using one application and another one starts, say, because I clicked on its shortcut icon, my current application loses focus. I'd rather the application start up but take focus away from the application that I was previously using.
What I have tried so far was to use TweakUI to tell windows to not allow focus stealing - http://mycvs.org/archives/2004/11/16/applications-stealing-focus-on-windows-xp/ - but it did not help.

Is there any way to start Windows apps in the background? Background meaning that they do not get focus until I indicate that I want them to( i.e. alt-tab to the app, click start bar icon, etc. )

This is really annoying, but not a show-stopper. Also, I am running Windows XP SP2.