Private Declare Function LoadCursorFromFile Lib "user32" Alias _
"LoadCursorFromFileA" (ByVal lpFileName As String) As Long
Private Declare Function SetClassLong Lib "user32" Alias _
"SetClassLongA" (ByVal hwnd As Long, ByVal nIndex As Long, _
ByVal dwNewLong As Long) As Long

Private Const GCL_HCURSOR = (-12)

Dim oldCursor As Long

Private Sub Form_Load()
Dim hCursor As Long
' Загружаем из файла анимационный курсор
hCursor = LoadCursorFromFile("c:\cursor.ani")
' Привязываем курсор к окну
oldCursor = SetClassLong(hwnd, GCL_HCURSOR, hCursor)
End Sub

Private Sub Form_Unload(Cancel As Integer)
' Восстанавливаем прежний курсор
SetClassLong hwnd, GCL_HCURSOR, oldCursor
End Sub