The most recently opened document should become the ActiveDocument, and I'm
not sure what would interfere with that. Unfortunately I'm away from my copy
of Word 2007 right now, so I can't test it to see if it behaves the same as
yours.

In any case, you can force it this way:

 Dim wdDoc As Document
 Set wdDoc = Documents.Open(strFileName)
 wdDoc.Activate

If the document is already active, calling Activate on it won't do anything.

Technically, you can do this in one statement,

  Documents.Open(strFileName).Activate

but it's usually a good idea -- especially when there are two or more
documents open at the same time -- to use an assigned Document object like
wdDoc to do all operations in the macro instead of using the ActiveDocument
object. Then you always know which document is going to be the target of the
operation. In fact, the document doesn't even have to be active to do things
like formatting, data extraction, Find/Replace, etc.