When starting Puzzle Agent more often than not I get no cursor. If I move my mouse quickly the cursor will appear and disappear but never stay visible when I stop moving the mouse. The ESC key doesn't do anything and there's no way to quit without killing via task manager.
I've also had the game start with a cursor on the menu screen but on the first screen after loading I experience the same problem with the exactly same symptoms.
I have gotten the game to run once with no problems.
I am on Vista 64 and have up to date mouse and video drivers as well as the latest Direct X.