The cursor is a shared resource. A window should set the cursor shape only when the cursor is in its client area or when the window is capturing mouse input. In systems without a mouse, the window should restore the previous cursor before the cursor leaves the client area or before it relinquishes control to another window.

апишка такая есть... SetCursor называется

Чтобы временно изменить курсор мыши для всех элементов управления в приложении, настройте свойство Cursor.Current. Как правило, свойство Cursor.Current устанавливается на отображение курсора в виде песочных часов при заполнении ComboBox либо при сохранении или загрузке файла.

Cursor.Current Property

Gets or sets a cursor object that represents the mouse cursor.

Public Shared Property Current As Cursor

Property Value
A Cursor that represents the mouse cursor. The default is a null reference (Nothing in Visual Basic) if the mouse cursor is not visible.

Remarks
Setting the Current property changes the cursor currently displayed, and the application stops listening for mouse events. For example, you might set the Current property to Cursors.WaitCursor before you start filling a TreeView, DataGrid, or ListBox control with a large amount of data. After the loop is completed, set this property back to Cursors.Default to display the appropriate cursor for each control.

Note If you call Application.DoEvents before resetting the Current property back to the Cursors.Default cursor, the application will resume listening for mouse events and will resume displaying the appropriate Cursor for each control in the application.

Example
The following example displays customer information in a TreeView control. The root tree nodes display customer names, and the child tree nodes display the order numbers assigned to each customer. In this example, 1,000 customers are displayed with 15 orders each. The repainting of the TreeView is suppressed by using the BeginUpdate and EndUpdate methods, and a wait Cursor is displayed while the TreeView creates and paints the TreeNode objects. This example assumes you have a cursor file named MyWait.cur in the application directory. It also assumes you have a Customer object that can hold a collection of Order objects. It also assumes that you have created an instance of a TreeView control on a Form.

' Create a new ArrayList to hold the Customer objects.
Private customerArray As New ArrayList()

Private Sub FillMyTreeView()
   ' Add customers to the ArrayList of Customer objects.
   im x As Integer
   For x = 0 To 999
      customerArray.Add(New Customer("Customer" + x.ToString()))
   Next x

   ' Add orders to each Customer object in the ArrayList.
   im customer1 As Customer
   For Each customer1 In customerArray
      im y As Integer
      For y = 0 To 14
         customer1.CustomerOrders.Add(New Order("Order" + y.ToString()))
      Next y
   Next customer1

   ' Display a wait cursor while the TreeNodes are being created.
   Cursor.Current = New Cursor("MyWait.cur"

   ' Suppress repainting the TreeView until all the objects have been created.
   treeView1.BeginUpdate()

   ' Clear the TreeView each time the method is called.
   treeView1.Nodes.Clear()

   ' Add a root TreeNode for each Customer object in the ArrayList.
   im customer2 As Customer
   For Each customer2 In customerArray
      treeView1.Nodes.Add(New TreeNode(customer2.CustomerName))

      ' Add a child TreeNode for each Order object in the current Customer object.
      im order1 As Order
      For Each order1 In customer2.CustomerOrders
         treeView1.Nodes(customerArray.IndexOf(customer2)).Nodes.Add( _
    New TreeNode(customer2.CustomerName + "." + order1.OrderID))
      Next order1
   Next customer2

   ' Reset the cursor to the default for all controls.
   Cursor.Current = System.Windows.Forms.Cursors.Default

   ' Begin repainting the TreeView.
   treeView1.EndUpdate()
End Sub 'FillMyTreeView