A few things come to mind;
1) What OS are you on? Knowing this is important when answering questions. Focus behavior varies between OSes.
2) How are you initiating the new window?
If you're using implicit initialization:
Then try initializing it like this instead and see if it makes a difference:
dim w as Window
3) Does it need to be a floating window? From a user standpoint, more windows = more clutter. If you can, I'd encourage you to move to an elastic interface where you have the banner embedded within your main window, and when the user does whatever is needed to eliminate the banner, you hide it and resize the interface to fill that space.
Hope that helps.