You can use the CreateCaret and ShowCaret Win32 API functions. This example creates a cursor in a PictureBox (you would normally always do the call in the GotFocus event).
Code:
  Private Declare Function CreateCaret Lib "user32.dll" ( _
    ByVal hWnd As IntPtr, _
    ByVal hBitmap As IntPtr, _
    ByVal nWidth As Integer, _
    ByVal nHeight As Integer _
  ) As Boolean

  Private Declare Function ShowCaret Lib "user32.dll" ( _
    ByVal hWnd As IntPtr _
  ) As Integer

  Private Sub Form1_Load(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles MyBase.Load
    CreateCaret(PictureBox1.Handle, IntPtr.Zero, 0, 12)
    ShowCaret(PictureBox1.Handle)
  End Sub