ahh, it is not working because the FS looses the Focus after activating the menu first time.
No, it doesn't. If it happens on your system, it means you must have some of those pesky add-ons that "steal" focus in order to force their windows to be always on front. A very questionable behavior that should be banned: imagine if all installed add-ons would try to do the same thing, all at the same time...a "war of the focus" would start, which will cause a big mess of Windows messages trying to do opposite things.
Add-ons known to cause this are online flying clients with their chat windows, but also any other utility that tries to force their window on top of everything else.
UNLESS you use Prepar3D 1.x instead of FSX. In this case, the loss of focus after opening a menu window is normal and it's a known bug we reported to LM a while ago, and we are fairly sure it has been fixed in the upcoming 2.x version.