Remove Dialog Close Button Focus

When a jQuery UI dialog widget is first opened, it gains the focus of the page. This makes sense, given that most of the time, the dialog opening is the result of the user performing some action, such as clicking a button. The idea is that the dialog probably has some other element in it that needs the attention of the user, like, a text input. It's nice when the user is able to just open the dialog, then continue typing. But perhaps you don't want this behavior.