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