
If you are using UserControls as your tool window child controls, you can examine OnEnter or OnLeave of those.
This is an item that we've wanted to improve. We're actually very close to having a beta complete for our completely redesigned dock controls. In those there is a WindowFocused event that fires whenever a tool or document window gets focus.
The new dock controls are much better designed internally and provide granular control over what tool windows can do. They also let you control how the entire dock system renders so it comes with samples for VS.NET 2005, 2002, and Office 2003 styles built in. The new controls are a huge improvement over DockableWindow and you will be able to upgrade to them for free if you have an active DockableWindow annual subscription when they are released. If not, DockableWindow owners will be able to pay upgrade pricing to get them. But trust me, it will be worth it. The suite that contains the new controls also comes with a TabStrip control and a NavigationBar control (like in Outlook 2003). Keep an eye on our web site since a beta should be be available very soon.