My system is Windows7, and the problem: While playing if I alt+tab to desktop to do something and alt+tab back to the game I'm getting stuck at merc which was selected when I alt+tab to windows. I cannot choose any other merc than that one - only game restart helps. Do you guys experience same problems?

Not sure if this is the issue, but sometimes in other games (including JA2), when you alt-tab out, the alt key is registered as pressed, and you when alt-tab back in, it remains in the pressed state. So I'd suggest when you alt-tab back in, to tap alt once (or twice) and then see if the issue is resolved.

It didn't help. I also noticed that all keyboard shortcuts stopped to work after alt+tab.

I'm afraid this problem has plagued me throughout my many playthroughs. I haven't had a change to try out JMich's suggestion myself, as I only found out about it after I finished my last run through. However I have just had to learn to not use ALT-TAB while playing. For me it gives me issues with being unable to walk off the map screen, and being unable to change selected merc (as you observed).

You could try the JA 1.13 patch, I've heard that provides windowed mode support, if you just play in a nearly full window then you wouldn't need to explicitly alt tab out. I've heard you can get a similar set of features for wildfire. Hopefully someone else here can confirm this.

The 1.13 patch is meant for JA2, not JA2:WF. It does increase the squad sizes, it does allow to swap maps, you can modify a lot of the difficulties and other settings, but it's not exactly Wildfire. If you do decide to give 1.13 a try, do ask and I'll do my best to answer you.

I mean't there appears to be a patch for wildfire that produces similar results as the 1.13 patch does on vanilla (i.e. you could get wildfire to run windowed etc.). At least some people on the web claim to offer one.