You can think of giving the input focus to a window as being like "pointing the keyboard" at that window. After all, there has to be some way for the computer to tell which window you mean to type in: the computer can't "read your mind"!
You can tell which window has the input focus because X Windows highlights the frame of the one sensitive window, while the other window frames are all a different colour.
To point your keyboard at a window, simply move the mouse pointer anywhere over the window and click the left button once. You can always click on the frame if you aren't sure whether clicking inside the frame might do something you don't want. Try this now with a couple of different windows on your screen.
Clicking on a window to give it the input focus also brings it out in front of other windows. This can be useful if the window is partially obscured.