I can't seem to reproduce this in Windows 7.
What version of windows explorer do you have (explorer.exe)? I know some of the later versions introduced other bugs with alt+tab.
What do you have in HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer\ ?
Does it happen when you use the flip switcher (windows key + tab)?
Does it happen when you use the old-school switcher (hold left alt, tap right alt, press tab)?