  Without assuming that Higgs masses have the same values as other scalar
masses at the input GUT scale, we combine constraints on the minimal
supersymmetric extension of the Standard Model (MSSM) coming from the cold dark
matter density with the limits from direct searches at accelerators such as
LEP, indirect measurements such as b to s gamma decay and the anomalous
magnetic moment of the muon. The requirement that Higgs masses-squared be
positive at the GUT scale imposes important restrictions on the MSSM parameter
space, as does the requirement that the LSP be neutral. We analyze the
interplay of these constraints in the (mu, m_A), (mu, m_{1/2}), (m_{1/2}, m_0)
and (m_A, tan beta) planes. These exhibit new features not seen in the
corresponding planes in the constrained MSSM in which universality is extended
to Higgs masses.
