Something rather simple that has always annoyed me

The one thing I prefer about windows is how you can click an app on the menu bar and it will load above the current one. On Mac clicking one will usually cause the screen to slide left or right which is annoying when you want to to minimise the one on top to see the app below.

Now I've never looked into this before so it might be easily rectified or there might even be a reason it's set up this way? If so please enlighten me guys!