Here is how you can change the shape of your mouseptr in gvim.
:set mouseshape=n:pencil
This will change the shape of the mouseptr to pencil in normal mode. You can choose different shapes for different modes. See :help 'mouseshape'.
Want more shapes?
Then look for the file cursorfont.h in your X11/ directory. This file contains lots of cursor shape #define definitions, like
. #define XC_heart 62 .
Now :set mouseshape=n:62
will set the shape of the mouseptr to heart in normal mode.
Comments[]
Not available for Windows.
Actually, only certain built-in cursors are available in Windows. Pencil doesn't work, but others do. See :help mouseshape