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When a control has captured the mouse, it receives mouse input whether or not the cursor is within its borders. The mouse is typically only captured during drag operations.
Only the foreground window can capture the mouse. When a background window attempts to do so, the window receives messages only for mouse events that occur when the mouse cursor is within the visible portion of the window. Also, even if the foreground window has captured the mouse, the user can still click another window, bringing it to the foreground.
When the mouse is captured, shortcut keys should not work.