Maybe you sometimes press only the left Alt key without any other key.
For all Windows applications when only left Alt key is pressed, the focus moves to first element in the menu of the application.
If the active file window is not maximized, the menu File gets the focus.
The UltraEdit document icon (= child (document) window system menu) gets the focus, if the window of the active document is maximized. Press key Space and you will see that there is really a menu below the icon.
When this happens unwanted, simply press left Alt key again to get focus back to the text area.
A disappearing cursor is normaly always an indication that something other than the text area of the active document window has the focus.
There are also applications which steal the focus from other applications. Hopefully you don't have such an application running in the background.