Switching to another window looses FSX sound.

If you are experiencing problems  as above and you might have a Creative Sound card, have a look at e.g. here
Have a close look if your sound card is in the overview. Check which sound device you are using in Device manager.
Renewal of the drivers of the brand involved, may help you to overcome that when you click outside FSX on another window, that the FSX sound is killed.
For on board sound there is no solution other than inserting  a sound card or… A “sound” solution can be found HERE