Customize the variables
mouse-autoselect-window. The former can be used to mislead
Emacs into giving focus to other frames when the mouse is over them,
even though Windows has a click to focus policy by default (there is
software available to change that though). The latter can be used to
make Emacs use a focus-follow-mouse policy within its own frames.
You can also change the Windows click-to-focus policy by changing settings in the Registry. The details vary according to your Windows version; look on the Internet for instructions to enable “active window tracking” for your version of Windows.