In Customer Defaults select Sketch - General. Then choose Part Settings tab where you can specify colors for lines related to sketches. Remember that you need to start NX again to active the changes to Customer Defaults.
About the annoying box, I can't help. It's just something that wants to be in the way.
To temporally remove the annoying curser window, click the F3 button. It will disappear each time you want it to.