It's not a Windows Update as such. It's one of a set of "Power Toys" for XP--there may be an equivalent set for Vista, or perhaps some of these have been added to the regular Vista feature set--but I haven't played around with Vista enough to know.
Anyway. Go here to get TweakUI and other Power Toys--these are official Microsoft apps, so no reason to be fearful of them:
http://www.microsoft.com/windowsxp/d...powertoys.mspx
You'll see the link for "TweakUI" there on the page. Once you have it installed, start the program. You'll see a "tree structure" of options. Expand the one for "General", then click "Focus". Check the box that says "Prevent applications from stealing focus", apply, and you're all set.