SetCapture and the Missing Mouse Cursor?

Has anyone else ran into problems with SetCapture where the mouse pointer seems to disappear or change its zOrder to the desktop?

I am using this sample code and in the demo it works right but in my project the pointer disappears. I now have most of the code cut and pasted but still it does it on me. The only thing I can think of thats different is that I am using a control that was created at run time and in the demo it was made at design time. Would that have anything to do with it?

VB Code:

'here is the snippet that is harassing me
Private Sub cShow(ByVal x As Long, ByVal Y As Long)
Dim tP As POINTAPI
Dim hWndDesktop As Long
Dim lStyle As Long
Dim lhWnd As Long
Dim lParenthWNd As Long
   
   ' Make sure the picture box won't appear in the
   ' task bar by making it into a Tool Window:
   lhWnd = PopUpList.hwnd
   lStyle = GetWindowLong(lhWnd, GWL_EXSTYLE)
   lStyle = lStyle Or WS_EX_TOOLWINDOW
   lStyle = lStyle And Not (WS_EX_APPWINDOW)
   SetWindowLong lhWnd, GWL_EXSTYLE, lStyle
   
   ' Determine where to show it in Screen coordinates:
   tP.x = x \ Screen.TwipsPerPixelX: tP.Y = Y \ Screen.TwipsPerPixelY
   lParenthWNd = PopUpList.Parent.hwnd
   ClientToScreen lParenthWNd, tP
   
   ' Make the listview a child of the desktop (so
   ' it can be fully shown even if it extends beyond
   ' the form boundaries):
   SetParent lhWnd, hWndDesktop
   
   ' Show the form:
   SetWindowPos lhWnd, lParenthWNd, tP.x, tP.Y, PopUpList.Width \ Screen.TwipsPerPixelX, PopUpList.Height \ Screen.TwipsPerPixelY, SWP_SHOWWINDOW
      
   ' Tell VB it is shown:
   PopUpList.Visible = True
   PopUpList.ZOrder
   
   ' Try to set focus:
   SetFocusAPI lhWnd
 
   ' Capture all mouse messages.
   SetCapture lhWnd
End Sub