Use the MousePointer property of the Picturebox, i.e.
Code:
Option Explicit

Private Sub Picture1_MouseDown(Button As Integer, Shift As Integer, X As Single, Y As Single)
    Picture1.MousePointer = vbHourglass
End Sub

Private Sub Picture1_MouseUp(Button As Integer, Shift As Integer, X As Single, Y As Single)
    Picture1.MousePointer = vbDefault
End Sub