That is cool!!! I did not know the ability is there. I should have asked this question earlier. It has bothered me for some time. Thanks Patrick.

Settings > Plugins and Extras > Behavior of windows on other desktops.

Thanks for dexpot, I can work on several projects at the same time. I come from linux and dexpot does make my windows experience much better.

Often, I let an application run and then switch to another project in another workspace. However, when the background application requires interaction, it pops up in the active work space. Sometime, it is very convenient, but most of the time, I would rather to switch to that workspace automatically (if possible) and let the application stay in its own workspace. Otherwise, I always need to clean my workspace and drag the application back to where it come from.

Thanks.