I am making an editor using mygui, so it would be preferable to sue the actual windows cursor to allow window switching etc. This done in the layout editor. How?
Look at LayoutEditor code and you'll see how it is done
We made InputManager that is for windows only and change windows cursors when get MyGUI::InputManager::getInstance().eventChangeMousePointer. Look at Tools/LayoutEditor/InputManager.cpp all related code is there.