Are you talking about drawing a rectangle around the mouse cursor in a windows program? That is sensible and not very hard (using GDI methods). Please clarify meaning of "draw onto nothing".
That is almost exactly what I'm talking about though, but without having any windows present. Draw onto nothing means, that it wouldn't be limited to windows.
@Kiana
Do you know any libraries? I'd prefer Windows libraries, but cross-platform works too.
Doing things to the cursor is a platform-specific task.
You'll have to set the global mouse cursor to a cursor that has the rectangle shape. Use an image editor to create the proper CUR file, (compile it into your application (as a resource), and use LoadCursor() to load the cursor resource) or (use LoadCursorFromFile() to load the CUR file), and SetCursor() to modify the current on-screen cursor, and SetSystemCursor() to modify the system cursors to your special one.