you're supposed to get a box, you only get an arrow in a window manager,
like gnome or kde. the console is a text oriented thing, a mouse is not
very useful <opinion>, if you've used a mouse in dos you get the exact
same thing. you could shut down the mouse server or take it out of the
startup scripts but i'm sure the mouse is useful for something, so keep
it in there till you find out. if you begin to use X you might find
that the console mouse server conflicts with it and the window managers
on it, i haven't had any conflicts myself, but you might.
it's a classic style choice, the whole letter is selected instead of
having a line in front of the letter, apple2, pet, dos, atari, they use
the box style cursor. it's not always true, but most of what i've seen
is that text based os's use the box.
Xfree86 is one of the standards of linux, if you are more
comfortable with a graphical interface you might have an easier time
with it, but getting it running with no errors first time is near
impossible, not a big problem if you only do it once and don't change
your hardware.