SetCursor() and CreateThread()

Env: VC++ 5.0, NT/95, no mfc, wndclass.hCursor=NULL;

I am not able to make SetCursor() work from a CreateThread'ed thread.
Function seems to return valid HCURSORs, but cursor do not change on screen.
I have no problems with the code when invoked from the main process.
Set/GetCursorPos() works fine, but I have the same problem with ShowCursor().

Thanks in advance for any help.
Ole Langeland