The window manager controls some important things. The first thing you'll be interested in is ``focus''. The focus of the server is which window will get what you type into the keyboard. Usually in X the focus is determined by the position of the mouse cursor. If the mouse cursor is in one xterm's window, that xterm will get your keypresses. Note that this is different from many other windowing systems, such as Microsoft Windows, OS/2, or the Macintosh where you must click the mouse in a window before that window gets focus. Also, usually under X, if your mouse cursor wanders from that window, focus will be lost and you'll no longer be able to type there.
Note, however, that it is possible to configure both twm and fvwm so that you must click on or in a window to gain focus, and click somewhere else to lose it. Either discover how your window manager is configured by trial and error, or consult local documentation.