e.preventDefault()-only: Clicking on me doesn't steal focus in IE ≥ 9 or any other modern browser, but does in IE ≤ 8. (jQuery Ticket #10345. Pedantic note: this is at most an interop bug in IE ≤ 8, the spec for mousedown (DOM3 Events) doesn't specifically mention focus as being a preventable default action, the most official mention of it is this Todo on the WHATWG Wiki (permalink).)

<p unselectable="on"/>: Clicking on the normal text in this p doesn't steal focus in any IE, but clicking on the <code/> elements do. (Only record of someone noticing, that I've found; however, they declare the attribute on all nested tags, which would be an onerous requirement.)

e.target.unselectable = true: Clicking on this p doesn't steal focus in IE ≤ 8, even the <code/> elements, but does in IE ≥ 9. (Perfectly complements preventDefault (above) in browser support.This was my stroke of genius/stab in the dark: no one else in the world appears to have noticed you can just wait for mousedown to bubble up and set the attribute then, instead of a tree-traversal to set the attribute on every descendant element like all of Tim Down's answers (below).)

e.target.setAttribute('unselectable', 'on'): Clicking on this p doesn't steal focus in any IE, even the <code/> elements. (More robust variant of the previous as suggested here, including comments linking to this MSDN article explaining what changed in IE9. The commenter, Tim Down of Rangy fame, went on to write a series of nearly identical answers do a tree-traversal and do setAttribute() on every descendant element.)

e.target.setAttribute('unselectable', true): Clicking on this p doesn't steal focus in any IE, even the <code/> elements. (Should (and appears to) be identical to the previous but minifies better.)

e.preventDefault(); e.target.setAttribute('unselectable', true): Clicking on this p doesn't steal focus in any browser, even the <code/> elements. (Everything works everywhere! I feel like a genius!)

e.preventDefault(); e.target.unselectable = true: Clicking on this p doesn't steal focus in any browser, even the <code/> elements. (Simpler code, everything still appears to work everywhere, but possibly less robust. Also, doesn't clutter the innerHTML output. On the other hand, in non-IE≤8 it's just expando, which is possibly less likely to cause problems than setAttribute, a DOM API method; but that's probably dumb, setAttribute is ancient and its bugs are unrelated.)

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