Overlay?

Is there a way to create overlay images in the Windows environment? I'm running Windows XP, and I have NO clue where to start looking for this, but basically, I want to create a program that will be able to interact with the current display. Something that can do stuff like a global custom mouse cursor...is this even possible? Just pointing me in the right direction would be nice.
In Win32,You can specify in the class to include a cursor resource as cursor.
With windows forms,you can specify the cursor in the form properties.If you want to make complex grafical programs,try a grafis library(DirecX,OpenGL)
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