it means the window that the mouse is over is probably not checking/clearing its message queue and so windows indicates this by showing the hourglass cursor
is your window visible? make sure you have maximised/restored your main window by creating it with the WS_VISIBLE style or by calling ShowWindow( hMyHandle, style ) where style is one of these: SW_MAXIMIZE, SW_RESTORE, SW_SHOW, SW_SHOWDEFAULT or SW_SHOWMAXIMIZED
are you checking your messages? is code like the following being reached/executed?