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This is what you will be making....

1) First of all, draw a circle. With 4 lines like a cross hair.
2) Convert it into a movie clip.
3) Next, double-click the movie clip.
4) Right-Click your mouse and select timeline effects-transform/tranistion-transform
5) After you've done that..on the very top select effect duration 15 frames.
6) Then make it rotate 360 degrees...
7) Then press ok.
8) Your cursor is almost done! Now test the movie and the cursor should spin.
9) Now select the cursor and open up your actions panel.
10) Add this actionscript:

onClipEvent (load){
Mouse.hide();
}
onClipEvent (mouseMove) {
setProperty (this, _x, _root._xmouse);
setProperty (this, _y, _root._ymouse);
updateAfterEvent(mouseMove);
}