How do I set the mouse pointer for a VS 2019 basic.net application

With the Designer you can select any of the standard cursors (members of Cursors class) as the default cursor of the Form/Control you are designing.

If none of the standard cursors are to your liking, you can assign a custom Cursor to the Form/Control's Cursor property; this takes your explicit code, e.g. in the Form constructor or the Load handler.

Custom Cursors can be created in many ways; I tend to store them as a resource within the EXE file and load them from there, using code like this (warning: C#):

// to make a cursor (.CUR) file:
// create a 32-bit image and store it as PNG (this allows transparent color)
// use a transparant border if full 32*32 cursor would be too large
// use on-line converter https://www.filezigzag.com/online-png-to-cur-converter
public static Cursor GetEmbeddedCursor(string filename) {
    string resourceName = "?";
    try {
        resourceName = "myNameSpace.Resources." + filename;
        Assembly assembly = Assembly.GetEntryAssembly();
        using (Stream myStream = assembly.GetManifestResourceStream(resourceName)) {
            return new Cursor(myStream);
        }
    } catch (Exception exc) {
        log("Exception in GetEmbeddedCursor: " + filename + ", " + resourceName);
        log(exc);
        return null;
    }
}

Cursor=Cursors.Default