Here is a great tutorial that shows you how to do that.
UPDATE
As Hans Passant brought to my attention, there is a better approach. Here is his version, taken from this Stack Overflow Post:
using System;
using System.ComponentModel;
using System.Windows.Forms;
using System.Runtime.InteropServices;
using System.Reflection;
static class NativeMethods {
public static Cursor LoadCustomCursor(string path) {
IntPtr hCurs = LoadCursorFromFile(path);
if (hCurs == IntPtr.Zero) throw new Win32Exception();
var curs = new Cursor(hCurs);
// Note: force the cursor to own the handle so it gets released properly
var fi = typeof(Cursor).GetField("ownHandle", BindingFlags.NonPublic | BindingFlags.Instance);
fi.SetValue(curs, true);
return curs;
}
[DllImport("user32.dll", SetLastError = true, CharSet = CharSet.Auto)]
private static extern IntPtr LoadCursorFromFile(string path);
}
And here is a usage example:
this.Cursor = NativeMethods.LoadCustomCursor(@"c:\windows\cursors\aero_busy.ani");
Good luck!!