This one comes stright from the Delphi Help. Hope it helps.
This example shows how to add custom cursors to an application. It assumes that a custom cursor with the name NewCursor has been added to the resources (.RES file) of the application. You can add the cursor using the image editor. (Tools | Image Editor)
The following code makes this cursor available to the application via the constant crMyCursor, and sets it as the global cursor to the application.
const
crMyCursor = 5;
procedure TForm1.FormCreate(Sender: TObject);
begin
Screen.Cursors[crMyCursor] := LoadCursor(HInstance, 'NewCursor');
Cursor := crMyCursor;
end;