Thanks for your reaction.
I use the most recent versions; I look weekly for upgrades using Impulse.
Specific versions: WindowBlinds 6.2 (build 61 x86) + CursorFX 2.01
I quickly tried different WB themes (9_3Vista, Abracadabra, Aero Metal and Eminence) and it occured in all of them.
I quickly tried another CFX theme, and after switching theme, the problem disappeared.
The OS is Windows XP SP2.