When I open a bmpr file by double-clicking in the Windows Explorer, balsamiq correctly loads the file and shows up on top of all other open windows. The window itself is not brought into focus, though. So when you use keyboard shortcuts (e.g. Win + Arrow to move the window about the display area), they go to the Explorer window in the background (which is actually not visible because balsamiq currently obscures it). The expected behavior would be to bring the new balsamiq window into focus automatically when opening the project.
I am using Version 3.3.3 on Windows 7 Enterprise SP1 (64 Bit).