Title: Use animated cursors
Use LoadCursorFromFile procedure to set your cursor in a list of cursores.
Use for this Cursors and Cursor properties of TScreen class.
procedure TForm1.FormCreate(Sender: TObject);
const
MyCursor=1;
begin
Screen.Cursors[MyCursor]:=LoadCursorFromFile('C:\Shuttle.ani');
Screen.Cursor:=MyCursor;
end;