This indicates that the windows in question does not have a keyboard focus. Further, it depends on a kind of window. If this is a control, if should be focusable and focused at the moment of key press. If this is a popup window having focusable controls in it, the focus can be grabbed by one of there controls. You can add keyboard handlers to each control or preview keyboard messages.
For more information, see
http://msdn.microsoft.com/en-us/library/ms646267(v=vs.85).aspx[
^].
—SA