From the MacroMedia Action Script reference guide (page 80)
Create a movie clip to use as a custom cursor
Select it on the stage
Choose Window Actions
In the Toolbox list, select Objects, then Mouse, and drag "hide" to the script window.
onClipEvent(load){
Mouse.hide();
}
In the Toolbox List, select Actions, then drag "startDrag"
to the script window.
Select the "Lock Mouse to Center" box
Script should look like
OnClipEvent(load){
Mouse.hide();
startDrag("this", true);
}
Test your movie.
Note: its a good idea to put your custom cursor on the top layer so it passed over other objects.