procedure TForm1.Button1Click(Sender: TObject);
var
  h : THandle;
begin
  h := LoadImage(0,
                 'C:\windows\cursors\GLOBE.ANI',
                 IMAGE_CURSOR,
                 0,
                 0,
                 LR_DEFAULTSIZE or
                 LR_LOADFROMFILE);
  if h = 0 then ShowMessage('Cursor not loaded') else
  begin
    Screen.Cursors[1] := h;
    Form1.Cursor := 1;
  end;
end;