I found this that would solve my problem. Seems a lot of code just to prevent the focus to change.
EDIT: Well I tried that and it doesn't work for me. The custom tooltip still gets the focus.
EDIT EDIT: OK the weird thing is that when I'm using the example code from that link and I override OnActivated and call...
SetWindowPos(Handle, HWND_TOPMOST, 0, 0, 0, 0, SWP_NOACTIVATE | SWP_NOSIZE | SWP_NOMOVE);
...that the breakpoint in OnActivated is hit, showing the SetWindowPos in the call stack. So the SetWindowPos causes the window to become active. Isn't that what the SWP_NOACTIVATE is supposed to prevent?