How to force initial display of focus box?

I am developing a web application that needs to be keyboard-friendly,
and I am using JS to set the focus to a particular link when the page
is loaded.

I can tell that focus is on the correct link, because pressing Enter
follows it to the correct place. However, the dotted focus box is not
shown until the user starts to press Tab. When they press Tab, the
focus moves to the next link as expected, and the dotted box shows.
Pressing Shift-Tab moves back to the original link, on which the
dotted box IS now shown.

It seems like IE is hiding the focus box until the user starts to
interact with the keyboard. How can I force it to always show the
focus box as soon as the page is loaded?

Thanks in advance.
Tony