You will first need to get a handle to a Windows cursor and assign it to the TScreen component's Cursors array. Predefined cursors start at a negative index, and user defined custom cursors are assigned positive indexes. The following is an example of a Delphi form that uses an animated cursor:

procedure TForm .Button Click(Sender: TObject);
var
  h : THandle;
begin
  h := LoadImage(0,
                 'C:\TheWall\Magic.ani',
                 IMAGE_CURSOR,
                 0,
                 0,
                 LR_DEFAULTSIZE or
                 LR_LOADFROMFILE);
  if h = 0 then ShowMessage('Cursor not loaded') else begin
    Screen.Cursors[ ] := h;
    Form .Cursor :=  ;
  end;
end;