  The lightest supersymmetric particle, most likely the neutralino, might
account for a large fraction of dark matter in the Universe. We show that the
primordial spectrum of density fluctuations in neutralino cold dark matter
(CDM) has a sharp cut-off due to two damping mechanisms: collisional damping
during the kinetic decoupling of the neutralinos at O(10 MeV) and free
streaming after last scattering of neutralinos. The cut-off in the primordial
spectrum defines a minimal mass for CDM objects in hierarchical structure
formation. For typical neutralino and sfermion masses the first gravitationally
bound neutralino clouds have masses above 10^(-6) M_\odot.
