>It seems that it works with top-level windows only

Yup, that's right. It is well documented in MSDN.

Parameters
   hWnd
     [in] Handle to the top-level window to be activated.

You can look here for the detail:
SetActiveWindow Function
http://msdn.microsoft.com/library/default.asp?url=/library/en-us/winui/winui/windowsuserinterface/userinput/keyboardinput/keyboardinputreference/keyboardinputfunctions/setactivewindow.asp