When using Parallels 4.0 in Window mode, if you CMD+TAB to another app, then come back, focus is lost, and you have to click somewhere within the VM to get it back. Try it with something simple like Notepad. I sincerely hope this is not by design, because this behavior really stinks, IMO (as does the inability to hide an specific VM with more than 1 VM open). Parallels 3.0 did not do this. Neither does VMWare Fusion.