I found out what is the problem. Actually I wouldn't call it a glitch or bug.
You all will notice that if you use RejZor-Sharp or Lite-On skins made by me, no problems at all with cursors. On the other hand when you use Laah-Ra again one of skins made by me, that problem with cursor will occure. Same thing is with Martin's skin Silver Panel and some others... what is in common to those skins ?
I'll tell ya...
If you use Silver Panel , you all will notice when you open MENU, at certain point your cursor have to fly over AVAST logo... that area in the skin is meant to be dragging area (for moving your skin around your desktop). That mouse state where you see those 4 arrows is called MOVE... so, nothing is wrong... it's just how Active Skin works... there is not much we can do about it... you will also notice when you browse that MENU, if you hovers with your mouse pointer above some buttons, you'll also hear that particular sound... same thing...
If it is so annoying to you, you can always change the skin. As I said before, some skins are free of that problem (if we can call it that way) just because MOVE (dragging) area is not even close to open MENU... try RejZor-Sharp skin and you'll see what I'm talking about...
Problem solved...
If you have same problems in some other applications, that's exactly the same issue... those applications uses Active Skin or some other skinnning engine, and that's it...
Cheers !