Press Alt+Tab. If you have more than one window open, pressing Alt+Tab switches to the most recent window you used. Pressing it again swtiches back. Try it a few times.
Now, try holding down the Alt key and don’t let go. Then press Tab (but don’t let go of the Alt key). A special window will appear.
While holding down the Alt key, keep pressing Tab. You’ll cycle through a list of open windows and applications. As soon as you have selected the application you want to use, let go of the Alt key, and you’ll immediately switch to that application.
(If, while holding down the Alt key, you press Shift+Tab, you’ll cycle backwards through the list.)
Note: There’s another keyboard shortcut for switching applications, Alt+Esc, which switches through Windows in the order you opened them, but it’s not nearly so useful, so forget about that one and use Alt+Tab instead.