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;