I think I reported an issue with having to click the close box twice on some dialog or other yesterday. The same appears true with the Download and Cache DSS Images dialog: if I bring it up from a right-click, and try to change the Data Set, the mouse action selects rows in the list window behind the DSS dialog window. The second click works fine.

The first-click-lost-in-dialog thing also happens with other applications (in the case I encountered it was Notepad, and the first click selected a bunch of stuff in the Objects list behind it).