There should be no problem with Windows switching between any of the opened applications that are running when you use the shortcut key combination of ALT+Tab.
There is a nice little PowerToy available for download that is called TaskSwitch. It is a bit more useful for seeing which application you wish to switch to. You can get it from Microsoft's web site. And it may also show you what is going on with your current problem.
But if you just want to switch between open Workbooks within the MS-Excel application (when more than one workbook window is open), then try using the combination of CTRL+F6.
Some useful shortcut key combinations:
ALT+TAB
Switch to the next program.
ALT+SHIFT+TAB
Switch to the previous program.
CTRL+W or CTRL+F4
Close the selected workbook window.
CTRL+F5
Restore the window size of the selected workbook window.
F6
Switch to the next pane in a worksheet that has been split (Window menu, Split command).
SHIFT+F6
Switch to the previous pane in a worksheet that has been split.
CTRL+SHIFT+F6
Switch to the previous workbook window.
CTRL+F7
When a workbook window is not maximized, perform the Move command (on the Control menu for the workbook window). Use the arrow keys to move the window, and when finished press ESC.
CTRL+F8
When a workbook window is not maximized, perform the Size command (on the Control menu for the workbook window). Use the arrow keys to resize the window, and when finished press ESC.
CTRL+F9
Minimize a workbook window to an icon.
CTRL+F10
Maximize or restore the selected workbook window.