If you are using Windows Vista, 7, or 8, be sure to launch audio applications as administrator. Programs like Teamspeak, Ventrilo when run as a standard user will lose focus when full screen games are played.
If you have an application that runs at Windows startup, locate it's main executable and right click to to get to properties. In the compatibility tab set it to always run as administrator. Restart the program or reboot. (If you are still on default settings it should prompt you at boot time or restart.)