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;