In Blitz3D you just hide the mouse pointer (if you use windowed modes) and use a sprite (with alpha) instead. Few related commands:
http://www.blitzbasic.com/b3ddocs/command.php?name=MouseX&ref=2d_cat
http://www.blitzbasic.com/b3ddocs/command.php?name=HidePointer&ref=2d_cat
http://www.blitzbasic.com/b3ddocs/command.php?name=MouseX&ref=2d_cat
http://www.blitzbasic.com/b3ddocs/command.php?name=HidePointer&ref=2d_cat