1*first as Naomi pointed, any vfp object have the mousepointer property.(at MouseEnter event) the cursor pointer change from native to what you coded (object.mousepointer=0-16 see in foxhelp MousePointer Property)
but this is particular to vfp.objects only.the window command is controled by the windows system explained as below.

the cursor are located in
*C:\Windows\Cursors\
*for vfp in home(1)+"GRAPHICS\CURSORS\" for cursors
note the cursor can also be animated (extension .ani)

2*you can also use for vfp objects an icon (icon file on disc) as mousepointer but specify mandatory "mousepointer=99" this is for vfp object (form and childs).
*icons for vfp are located in home(1)+"GRAPHICS\ICONS\"


3*you can set the mouse pointers in windows configuration panel but this is scope to all windows (including visual foxpro command window).
you can set many configurations of mouse in dialog and save.can switch between the saved configuration of mouse.
to return to default mode in each cursor simply click "defaut" cursor.
see the 2 photos attached.

for ex. the visual foxpro cursor for command window (text) is Ibeam.if you change in
home(1)+"GRAPHICS\CURSORS\NE_01.CUR" you have this cursor as pointer in command window.
but this is also available to notepad and any text editor

All these config panel can be done with APIs . if you want the code simply ask !


*update:
you can play with the superb Calvin Hsias code pointed below to see the cursor pointers use on vfp controls.but you must tweak the code to make it working (comas " to replace,inter lines to cut):
Playing around with custom mouse cursors
https://blogs.msdn.microsoft.com/calvin_hsia/2006/07/28/playing-around-with-custom-mouse-cursors/



note that you can adjust in control panel fontsize (all windows) relative to your eyes...but also in vfp (format/police).