Although I know next to nothing of your application, your description sounds like you may be running some relatively length processing and you want the user to know your application is working by setting the cursor differently.
If this is true, then you must realize that Visual WebGui is a web application, building on the Request/Response model where the client is always the initiator. When a request is sent from the client, the server processes the request and only when the processing is finished, a response is sent back to the client.
This means for your long running scenario that, say by the click of a button, you start processing something server-side and change the cursor and then continue processing. In this case, the changed cursor never reaches the client until your server-side has finished processing the request, and by that time you probably have set the cursor back to normal anyway.
To work around this web limitation, the easiest way is to add a Timer control to your form and have it fire frequently enough, but not too frequently to degrade performance (you'll have to find some frequency that fits your scenario). You need to register a Tick event handler, but you can have the event handler an empty code block if you want to, as it's only purpose is to make sure the client will raise the request. During this request, the server will send back all changes to the UI that have occured server-side, including your cursor change and then your client will show different cursor.
Hope this explains and helps,