I've been using the same approach to change the system I-beam cursor. I'm still having a problem trying to restore the cursor to its original. Normal01.cur will give you the arrow back, but what if the user had an animated or custom cursor ? (See Microsoft Plus!).
It would be nice to have a handle or some reference to the original system cursor before changing it, which I'm sure it's possible, I just didn't find it yet.

>Someone was asking how to change the mouse cursor to a hourglass and it was suggested that the SETALL command be used to change the cursor properties of everything on the form. The following bit of code I think is a better solution:
>
>** these are the WIN32API functions u need for changing the
>** mouse cursor.
>declare integer LoadCursorFromFile in win32api as NewCur string declare short SetSystemCursor in win32api integer, integer
>
> *NORMAL 32512 - usually u would put these in a .h file
> *IBEAM 32513
> *WAIT 32514
> *CROSS 32515
> *UP 32516
> *SIZE 32640
> *ICON 32641
> *SIZENWSE 32642
> *SIZENESW 32643
> *SIZEWE 32644
> *SIZENS 32645
> *SIZEALL 32646
> *ICOCUR 32647
> *NO 32648 (Win NT only)
>
> * get a handle for a new cursor
> nCurHndl=NewCur("c:\vfp\samples\graphics\cursors\down.cur")
>
> * this example changes the noraml (arrow) cursor to the new cursor
> * u can use normal01.cur to return to the normal cursor
> nChangOK=SetSystemCursor(nCurHndl,32512)
>
> *after u changed one of the "system" cursors to ur own
> *u can use the MousePointer property to referance it