Windows doesn't natively support what you are after, but you can achieve it using free automation software, such as Autohotkey.
Install Autohotkey, create a script (just create a text file then change the file extension to .ahk), then paste this:
#NoEnv ; Recommended for performance and compatibility with future AutoHotkey releases.
; #Warn ; Enable warnings to assist with detecting common errors.
SendMode Input ; Recommended for new scripts due to its superior speed and reliability.
SetWorkingDir %A_ScriptDir% ; Ensures a consistent starting directory.
Start:
GroupAdd, WindowGroup, ahk_class YOURWINDOW1
GroupAdd, WindowGroup, ahk_class YOURWINDOW2
WinWaitActive, ahk_group WindowGroup
Winactivate, ahk_class YOURWINDOW1
Winactivate, ahk_class YOURWINDOW2
WinwaitNotActive, ahk_group WindowGroup
Goto Start
Ahk_class is just an identifier for windows on your desktop. Like a label. Where it says YOURWINDOW in the above code, replace it with the ahk_classes of the windows of the apps you want to group together so they both appear together when you switch to either one of them using Alt-Tab.
To find out the ahk_class of the window for your apps, you need to install a little app (or a portable version so no install) which tells you the name of windows on your desktop. For example, AU3-Spy, Window Detective, Winspy, or some other such app.
Run the window identifier software, click on the window you want to find the ahk_class for, and look at where it says the window's ahk_class. Just put whatever is there in place of YOURWINDOW1, then do the same for the other window and replace where it says YOURWINDOW2.