Change as in System-Wide?
Don't!
Any program that changes anything in my System/OS goes straight into the rubbish bin....
If you want custom Cursors for your Program, use the Curser-Property of your Form(s), Controls, whatever.
User works with your Program, the cursor changes to your selected cursor, while when User opens Another Program in parallel it goes back to the standard cursor, as long as the user is "out of" your program