try this code

Code:
Private Declare Function CloseHandle Lib "kernel32" (ByVal hObject As Long) As Long
Private Declare Function SetCursor Lib "user32" (ByVal hCursor As Long) As Long
Private Declare Function LoadCursorFromFile Lib "user32" Alias "LoadCursorFromFileA" (ByVal lpFileName As String) As Long


Private Sub Command1_MouseMove(Button As Integer, Shift As Integer, X As Single, Y As Single)
SetCursor MyCursor
End Sub

Private Sub Form_Load()
MyCursor = LoadCursorFromFile("C:\winnt\cursors\counter.ani ")
End Sub

Private Sub Form_Unload(Cancel As Integer)
CloseHandle MyCursor
End Sub