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After reading this, I took a quick look at some of my xwd screens: when I
didn't use a time delay to pull down menus with my mouse, I have the cursor
displayed (as a black rectangle) at the operating system prompt. This may
be something in the X resources, where you can set mouse focus to be "explicit"
or not...I'm just guessing, and our X documentation is sadly limited here.
I _think_ it goes something like this: if you set your mouse focus to be
explicit, you have to press the mouse button once you are in the window,
in order to have input focus in that window. Implicit means that you have
imput focus as soon as the mouse is moved into the window. Might this affect
whether you have your cursor displayed in your screen print?
I'm afraid I haven't got the time at the moment to hunt this info. down for
you, and this may not be what you want, in any case.