At any time, there is only one selected window in GPS (the active
window). You can select a window either by clicking in its title bar,
which will then get a different color, or by selecting its name in the
menu Window.
Alternatively, windows can be selected with the keyboard. By default, the selection key is <Alt-Tab>. When you press it, a temporary dialog is popped-up on the screen, with the name of the window that will be selected when the key is released. If you press the selection key multiple times, this will iterate over all the windows currently open in GPS.
This interactive selection dialog is associated with a filter, displayed below the name of the selected window. If you maintain <Alt> pressed while pressing other keys than <Tab>, this will modify the current filter. From then on, pressing <Alt-Tab> will only iterate through those windows that match the filter.
The filter is matched by any window whose name contains the letter you have typed. For instance, if you are currently editing the files unit1.adb and file.adb, pressing <t> will only leave unit1.adb selectable.