I usually use textboxes, but I don't see why you couldn't use a picturebox (you will not be able to use a Label because the label control does not have an hWnd property.)

In the pictureboxs property page set the mouse pointer to 99-Custom
In the mouseicon property load the picture that you want to use. Then add this code to the mouseover event
VB Code:
  1. Option Explicit
  2.  
  3. Private Declare Function SetCapture Lib "User32" (ByVal hwnd As Long) As Long
  4. Private Declare Function ReleaseCapture Lib "User32" () As Long
  5. Private Declare Function GetCapture Lib "User32" () As Long
  6.  
  7. Private Sub Picture1_MouseMove(Button As Integer, Shift As Integer, X As Single, Y As Single)
  8. If (X < 0) Or (Y < 0) Or (X > Picture1.Width) Or (Y > Picture1.Height) Then
  9.        ReleaseCapture
  10. ElseIf GetCapture() <> Picture1.hwnd Then
  11.        SetCapture Picture1.hwnd
  12. End If
  13. End Sub
Place whatever code is necessary in the pictureboxes click event.