Doesn't a simple change of mouse pointer work for you?
_screen.MousePointer=11
The AVIs are nice but sometimes I find that just changing the cursor to an hourglass is enough. You could always change the cursor set in windows to something other than the standard with .cur and .ani files.
"Once again, we come to the Holiday Season, a deeply religious time that each of us observes, in his own way, by going to the mall of his choice." -- Dave Barry