Preview Problems - Saving Before Previewing

I keep having an issue when previewing my game.
It doesn't matter what I'm trying to preview, but when I go into the preview mode nothing is happening unless I mouse click the preview window first, then it will work. It won't work at all if I haven't saved the project first. If I Ctrl+S to save using the shortcut it won't play properly in preview mode either. I have to physically go to the file menu and choose "save". Then when I go into preview mode, I have to click the play screen first then everything works. Is this normal? It seems rather annoying and buggy.