You can't. Mouse cursors for an application are set by the application in response to a WM_SETCURSOR message. You can't intercept that message and do anything different. If the handler for the WM_SETCURSOR uses a cursor from the applications resources you could edit the binary and get a different cursor--assuming the binary doesn't check for tampering.
Posted: Visual C# General, How can I change the cursor of a third part (Window/exe) ??
I'm assuming you meant "third party" as in a window in a different process. The most common ways to inject code into another process and intercept events is with hooks and shell extensions. Check out MSDN, Advanced Windows Programming by Richter, and Visual C++ Windows Shell Programming by Esposito.