When I have several windows open and use Alt+F4 to close the top-most (currently focused) window, it is often the case that the remaining open window does not have focus. For example, if I tap Alt+F4 again expecting to also close that window, I instead get a dialog asking me if I want to shut down Windows.

How do I get focus to go to remaining open windows after I use Alt+F4 to close a window?

Maybe this discussion will help explain.