There are a couple of methods. Each game is different, and one of the methods should work, but for some games, neither method works (the games just completely ignore the calls from DF).

The first one to try, is to assign a key combination to the Prevent Window Deactivation Function on the Settings > Functions tab, and try running that key combo while in the game.

If that doesn't work, you can try using Window Location with a 60 second delay: http://www.displayfusion.com/KB/PreventWindowDeactivation/

If neither of the above work, it's likely that the Function isn't compatible with that game.

Hope that helps!