Jontmke,
I do not think you appreciate the problem. In a multiple-domain setting the Caps Lock notification blocks the view for the user of the Domain setting.
This is clearly not-intended.
As I said in my earlier post, you cannot stop the message, and you cannot relocate its screen location. All you can do is to create a custom logon screen to avoid the message blocking the Domain portion of the logon window.
There have been several threads on this, and I really thought at first it was a fairly trivial issue. It is decidedly not. The whole notification area of XP has gone through a review and I know some persistant issues are being addressed in Service Pack #2, but I have learned nothing of this particular one. One clear direction from the .NET side of things from Microsoft is that what is now officially called the "notficiation tray" and notification service has been examined closely. The direction of this examination is quite clear, the "notification" area is a minor XP convenience and they would like it to go away.
See what Service Pack #2 does, or Google for "XP logon screen custom" and you will find lots of suggestions. All involve essentially a hack to the native XP theme services and at times a Third Party application. This makes me uneasy, so I am waiting for Service Pack #2 to see if the location or even appearance of this particular notification can be set in Group Policy.
Best.
Bill