When you create a new window from inside your application, like in this example:
var dialog = new MyDialog();
if you press Alt-tab when the dialog is open, and you come back to the application pressing Alt-tab again, the main window will be shown but not the dialog. The reason is that the dialog has not been declared as owned by the main window.
The solution for this undesired behaviour is very simple: Inside the dialog constructor, right after the invocation to InitializeComponent(), set the owner of the dialog, which is the main window:
this.Owner = App.Current.MainWindow;
is traditionally the name of the WPF application class.