Для хорошей игры нужны хорошие курсоры. Скачал пару, а как вставить в Delphi не знаю. (Cur1.ani-файл)

DirectX, OpenGL ?
А если WinAPI - читай документацию:

The LoadCursorFromFile function creates a cursor based on data contained in a file. The file is specified by its name or by a system cursor identifier. The function returns a handle to the newly created cursor. Files containing cursor data may be in either cursor (.CUR) or animated cursor (.ANI) format.

Syntax



Parameters

lpFileName
[in] Specifies the source of the file data to be used to create the cursor. The data in the file must be in either .CUR or .ANI format.
If the high-order word of lpFileName is nonzero, it is a pointer to a string that is a fully qualified name of a file containing cursor data.

If the high-order word of lpFileName is zero, the low-order word is a system cursor identifier. The function then searches the [cursors]section in the WIN.INI file for the file associated with the name of that system cursor. For a list of cursor identifiers, see Remarks.

Return Value

If the function is successful, the return value is a handle to the new cursor.

If the function fails, the return value is NULL. To get extended error information, call GetLastError. GetLastError may return the following value:

Value Meaning
ERROR_FILE_NOT_FOUND The specified file cannot be found.

И потом про функции:
* SetCursor
* SetCursorPos
* ShowCursor