This will happen when any other application or program or utility running gets the focus after you've doulbe clicked the icon.
Like Mastiff stated, the 'triple click' ... third click makes the icon / desktop get the focus.
Try and keep as little other programs running when you start IL2.
Messenger? Skype? HP all-in-one printer/scanner/copier stuff? All those resident thingies are all capable of taking the systems focus, even for a tiny moment...
Here's what I think the system tray should look like when running IL2:
A tip for those whose mouse click isn't accurate: Select IL2's icon, and hit the Enter key...