Here is how you can change the shape of your mouseptr in gvim.
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.
Not available for Windows.
Actually, only certain built-in cursors are available in Windows. Pencil doesn't work, but others do. See :help mouseshape