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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.
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Unfortunately, this does not work for all (or any in my experience) sites.