The following is taken directly from http://www.burningcutlery.com/derek/winsetup/#winmgr
“On Windows NT, set the following registry key to have a value of 1:
HKEY_CURRENT_USER\Control Panel\Mouse\Active Windows Tracking
On NT it has some bugs: some apps auto-raise on focus, and alt-tab doesn't move the mouse.
On Windows 2000, XP, or 2003, you need to change a binary-valued registry key:
HKEY_CURRENT_USER\Control Panel\Desktop\UserPreferencesMask
This is a little-endian bitmask. For focus-follows-mouse, add the flag 0×1. For example, my XP SP2 laptop originally had a value of 9E 3E 05 80, which is 0x80053E9E. To activate focus-follows-mouse I changed to 0x80053E9F, or 9F 3E 05 80 in regedit.
According to http://www.winguides.com/registry/display.php/18/ you can also achieve raise-on-focus by adding the flag 0×40. I haven't tested that as I don't like raise-on-focus.”
A reboot is required for the change to take effect.