<p>I have written an application which has a modal form. How can I ensure that this form does not lose the focus even when an other application is started?</p>

Actually, this is exactly the sort of thing you shouldn't be doing.
There's too many programs around that assume they control the computer they're installed on.  It is the user of your application that should be in control.
That's why later versions of Windows disallowed stealing of focus instead insisting on just blinking the entry in the task list bar.
You may well find a way to do it (though I doubt it), but I urge you to rethink it.  I'd be interested in knowing why you thought it was necessary.