I've found it because I was erroneously pressing Ctrl-N to open a new connection to another server instead of Ctrl-M.
No big deal but still confusing….
Steps to reproduce:
1. Start SQLyog (I use 5.01 RC1 on XP) and open a database connection
2. Click Ctrl-N to duplicate this connection
3. Immediately click Ctrl-F4 to close this new window
4. Click Ctrl-M to open another connection to other (or even same) server.
This new connection will be opened in the background and the 1st connection window will be still visible. The impression is: Ctrl-M doesn't work at all.
All the best,
Vygi