Jim,
Hi. Thanks for your question. I researched this after your post and found a few interesting things (1 bug, 1 work around 
)
1. Yes, this is handled using a client side event. This is handled under the 'Initial Javscript Section' and should be formatted as such:
document.getElementById($(ShortFieldName_FieldID)).focus();
2. This initial javascript however is also rendered when the form posts back to the page (such as server side validation) so the problem might occur that the form field is set to focused again if you had server side validation. In this case you might use something like this, which would first check to see if the field is empty and then if its empty it would set the focus.
if ($(ShortFieldName) == '')
{
document.getElementById($(ShortFieldName_FieldID)).focus();
}
3. The bug I found is that the short field name is not replaced with the actual field ID if the fields 'client side validation' is empty. So you have two work arounds, one is to open up the short field name and save the client side validation with a space in it (it just can't be completely empty 
) and the other is to actually get the field ID and use it instead of $(ShortFieldName_Field).
So... There is a working example of this now at:
Dynamic Forms Set Field Focus w/ Initial Javascript
Thanks!
-Chad