This tutorial is meant for those who haven't registered their copy of Game Maker. There's also a D& function that you can use if you're registered.

First, goto Add -> Change Global Game Settings and disable the checkbox called "isplay the cursor"

Now make a new object, apply the cursor sprite you want to it and put the following code in the step event
x = mouse_x; //This moves the object to the x position of the mouse
y = mouse_y; //This moves the object to the y position of the mouse

Put this object in every room you want the cursor in, and you're done!