I found out how to change the cursor of the mouse inside the form...
Code:
Public Class Form1
    <System.Runtime.InteropServices.DllImport("user32.dll")> Private Shared Function LoadCursorFromFile(ByVal fileName As String) As IntPtr
    End Function
    Private Sub Form1_Load(ByVal sender As Object, ByVal e As EventArgs) Handles MyBase.Load
        Cursor = New Windows.Forms.Cursor(LoadCursorFromFile("C:\Users\-----\Desktop\-----\Textures\----- ----- --.cur"))
    End Sub
End Class
...but what I need is the custom cursor to be always on, inside and outside the form.
I use Microsoft Visual Basic 2010 Express.