Using animated cursors in your application is very easy.
Here's an example:
(mycursor.ani is an animated cursor file. You can create those with Microsoft's aniedit.exe)
// John F. Goyvaerts
const
crMyCursor = 1;
procedure TForm1.FormCreate(Sender: TObject);
begin
// Load the cursor. Needs to be done only once
Screen.Cursors[crMyCursor] := LoadCursorFromFile('c:\mystuff\mycursor.ani');
// Use the cursor with this form
Cursor := crMyCursor;
end;