Set focus to field in dynamically loaded DIV

The load() function is an asynchronous function. You should set the focus after the load() call finishes, that is in the callback function of load(), because otherwise the element you are referring to by #header, does not yet exist. For example:

$("#display").load("?control=msgs", {}, function() { 
  $('#header').focus();
}); 

I had issues myself even with this solution, so i did a setTimeout in the callback and set the focus in the timeout to make /really/ sure the element exists.

Have you tried simply selecting by Id?

$("#header").focus();

Seeing as Ids should be unique, there's no need to have a more specific selector.