I've checked and I don't think anyone's made this yet, so why not? :P.
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So CS3's out and now everyone's trying to learn AS3, it's a pain, what should only take a few lines of code will now take alot more, but here's how I found the best way to make a custom cursor (so far, it's all i tried, so there may be better ways).
First, make a movieclip, give it an instance name of 'cursor', draw any kind of arrow inside it and now for the code:
stage.addEventListener(Event.ENTER_FRAME, moveMouse);
This creates a listener on the stage, the event is Event.ENTER_FRAME, which is the new on.EnterFrame function, the listener calls the moveMouse function constantly because of it.
function moveMouse(Event) {
This creates the moveMouse function, the Event part is important, since you'll get a compile error otherwise :P.
Mouse.hide();
Thankfully somethings are the same, this hides the mouse.
cursor.x = mouseX;
cursor.y = mouseY;
This sets the position of the cursor, no longer do you need a _ symbol before a movieclip's parameters :P.
}
This is the end of the function.
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Testing it should hopefully give you a working custom cursor.
Hope this helps and works (atleast it did for me).