Custom Cursor

1.Open Flash MX and create a new document any size will do.

2.Draw draw an image similar to the one below or atleast an arrow like image.

3.Covert it to Symbol(Insert>Convert to Symbol or press f8) and enter the following settings:

Name: arrow_mc
Behavior : Movieclip

And click ok or press enter.

4.Select the arrow_mc instance on the stage and open the Actions panel(Windows>Action or press f9). Enter the following:
 

onClipEvent (enterFrame) {
this._y = _root._ymouse;
this._x = _root._xmouse;
Mouse.hide();
}

***this._y = _root.ymouse; and this._x = _root._xmouse; - checks the x and y coordinates of the mouse pointer and reposition the arrow_mc in accordance with that coordinates.
***Mouse.hide(); - Hides the default mouse pointer.

5.Save your work and publish it.(Control>Test Movie or ctrl+enter).