Technically, in Windows you can only have 1 window at a time "on top" and "in focus". So you can't select 2+ windows to be "in focus" simultaneously.
However, if what you need is to have your keystrokes processed by 2+ windows, this is something you can achieve. The proper technical solution is to have keystrokes registered by the 1 window that is "in focus" and then use something to clone or resend the same keystrokes to other windows.
The only solution I've found is to use AutoHotkey with some kind of custom script. Unfortunately, scripting for AutoHotkey is not mindlessly easy but, for this particular problem, it doesn't seem prohibitively hard either.
Cloning mouse movements/clicks seems like a much harder problem since the 2+ windows can have random locations, sizes, etc. Here is an attempt to solve this problem.