Since a cursor is a shared resource you shouldn't change the cursor for other applications. It also depends on what cursor type you want to change, since there are many cursor resources loaded by Windows (normally 14).

However if you are interested there are a couple of different API functions you can use to change the cursor. SetCursor is one (which is what VB use internally when you use a custom MouseIcon) and this function changes the current used cursor to use your cursor even for other applications (VB changes back the cursor when the mouse leave the window borders). SetSystemCursor is another function that is the same as opening the Mouse control panel applet and physically change one of the cursors. This is a system wide change that will destroy the earlier used cursor (not recommended).