When running affylmGUI under the Windows operating system, it is common for users to experience problems with window focusing. If running Rgui in Multiple Document Interface (MDI) mode, than the main Rgui windows often tries to steal the focus from the affylmGUI windows. This problem is not specific to affylmGUI, but is a general problem with running a Graphical User Interface built with Tcl/Tk (e.g. affylmGUI) from within Rgui for Windows.
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Part of the problem is that under Windows, you are trying to run two GUIs at once: Rgui and Tcl/Tk. The windows focus problems could possibly be avoided by rewriting affylmGUI in GraphApp (used to implement Rgui for Windows), but then affylmGUI wouldn't be portable to Linux and MacOS X.
Another option is to rewrite the way in which Tcl/Tk is embedded in R for Windows, (see the tkEmbed link below), but this would take some considerable work, and there is a feeling in the R core development team that the GraphApp Rgui may soon be replaced by something else which is more platform-independent, such as a wxWidgets/wxPython GUI (see the R-wxPython link below) or a Java Swing GUI such as JGR.