I highlight a folder and a few single action lists and then hit command shift f and all that happens is my mac makes the sound that it makes when there is an error. How do you open a new window with just the selected projects and lists?
I don’t think you can both focus and open a new window in one single command, but to simply focus with command-shift-F works for me. You may have a conflict with some other app using the same command.
Are you using the professional edition of OmniFocus? Focus is a Pro feature. When I attempt to use the focus keyboard shortcut while running OmniFocus in standard mode I get the error bonk, so that may be what’s happening here.
If that’s not the case, and you are using Pro, you should be able to focus, however @Jan_H is correct that focusing does not open a new window. To focus in a new window you would need to open a new window first (File ▸ New Window), then focus (View ▸ Focus on __ ) in the new window.
In case it helps, these sections of the online documentation have more info: