Try to do the following:
System.Windows.Forms.Cursor.Current = System.Windows.Forms.Cursors.WaitCursor;
More information is available at Cursors Class documentation
Cursor class doesn’t support GIF files or animated cursors (.ANI). You can load a custom cursor doing
Cursor.Current = new Cursor("C:\\ic.cur");
Maybe you can convert yout GIF file to cursor format using a tool like Microangelo. In addition, there is another thread related to it.
How do you convert a GIF into a CUR file?