Did that use Microsoft API though? It might have been possible to hack your own library to do the same thing as I'm pretty sure there were are Win32 APIs to read and write pixels outside of your form -- albeit performance almost certainly wouldn't be on a par doing it that way.

(I say "pretty sure" because I once wrong a program to create a second mouse cursor but which was controlled via a game controller. The logic being I could multi-task my GUI operations. Obviously the logic was flawed and that application proved dumb but it was a fun development exercise none-the-less. Anyhow, I think I drew the cursor directly to screen by reading and writing pixels using some Win32 API; but I'm not super confident of that memory).