[DllImport("user32.dll", EntryPoint = "SystemParametersInfo")]
public static extern bool SystemParametersInfo(uint uiAction, uint uiParam, uint pvParam, uint fWinIni);

const int SPI_SETCURSORS = 0x0057; 
const int SPIF_UPDATEINIFILE = 0x01; 
const int SPIF_SENDCHANGE = 0x02; 

private void ChangeCursor(string curFile)
{
    Registry.SetValue(@"HKEY_CURRENT_USER\Control Panel\Cursors\", "Arrow", curFile);
    SystemParametersInfo(SPI_SETCURSORS, 0, 0, SPIF_UPDATEINIFILE | SPIF_SENDCHANGE); 
}  

ChangeCursor(@"C:\MyCursor.cur");