Hi, and welcome to the world of large sensors and shallow depth of field!
In this case, the blurred background may be considered a plus, since it makes the children stand out.
But in order to be in control of depth of field, you need to learn to use the aperture settings of your camera. A large aperture (which, confusingly, is denoted by a small number) gives you shallow depth of field, and also allows you to use a lower iso value (nicer, less noisy pictures) or faster shutter time (you can freeze motion). A smaller aperture, on the other hand, gives you large depth of field, ie you can have both foreground and background in focus at the same time.
The best way to learn this is through experience: set your camera to Av mode, which lets you change aperture manually (while the camera takes care of iso and shutter). Find some close subject and focus on that subject while you take several shots with different apertures (e.g. 3.5, 8, 11) and review the pictures and notice how background sharpness varies.
It takes some time to master a DSLR - good luck!
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