Finder window goes to background when quitting an application

Here's a sample situation. I have Firefox open in the background and a Finder window open in front of it. I open up a video from the Finder window in MPlayerX. When I quit MPlayerX, the Finder window goes behind the Firefox window, and Firefox takes the focus. The Finder window should have the focus because it had the focus more recently than Firefox. Substitute any applications for Firefox/MPlayerX and I still have the same problem. Any way to correct this behavior?