Having two Web tests - A & B - open in separate windows in Visual Studio 2012.
When you have test A on focus click record in test A's window, but new steps are added to test B, not test A.  The two test windows need to be tile (vertical tab group used, refer to the screenshot provided). Project for repro attached.

Short video of the behavior: http://screencast.com/t/m0liyoLVQ