"Could you please clarify what you mean in your last sentence "What
you're describing is how the Main Search Window is still in focus.
If  you click the page control in taskbar, it will bring the Link Page
into focus."  I don't understand this - thanks"

Yes.  You've launched an IE window and proceeded to perform a search from the
http://go2net.com/

Yet, you've clicked a link in the search index and it has opened a new
window which is behind the main Search window.  Seeing the Search Window at
that point in time is what is known as Focus because it is on the Main
Window.  It is known as Stealing Focus when the window you want to view is
behind it.

In order to correct this, you have to adjust your Tab Settings

Tools>Internet Options>General Tab
Click on Tab Settings Button
Check to see if you have Open new tabs next to the current tab checked
Under When a popup is encountered -
Check to see if you have Always Open popups in a new window checked
Under Open Links from other Programs in -
Check to see if you have a new tab in the current window checked
Click OK

Now, if you click on a link in the search and press ctrl+alt, your new link
should open in a new window that appears in front of the Search window.  This
is because you're giving it Focus.

If you want to open it in a new tab, just press ctrl and click the link or
alt and click the link.  Both commands should open it in a new tab.