Hmm, you can only have 1 cursor in windows that I'm aware of. To achieve something like this(multiple cursors across different active forms), you will need to simulate this effect by creating a custom control that responds to mouse events.
To create the custom control you can inherit from the Control class and override its OnPaint and OnMouseXXX events. In the OnPaint event, you can draw your custom cursor using the Graphics object provided by the event arguments. In the OnMouseXXX events (such as OnMouseMove, OnMouseDown, etc.), you can respond to the mouse events and update the position of your custom cursor.
Once you have created your custom control, you can add multiple instances of it to your forms, each with its own custom cursor.