Windows applications interrupting what I am doing?

I absolutely hate it when I am viewing a window (Application, Internet browser etc.) and I decide to run another application. I then go back to the original window whilst waiting for the new one to start up which might time a little bit of time. And then very annoyingly, I am viewing my window when I am rudely interrupted by the new application which just 'take over the screen'. I know i have started that new application, but I will go to it when i am ready. How do I turn this off, that when a new application is started, it doesn't interrupt what i am currently doing? Please tell. Much Appreciated