How about cursors found in ole32.dll?
Cursor-group 1 contains a black circle with a line through it.
Cursor-group 6 contains an arrow, a box with a dotted outline and a page with a + on it.
This will grab the drop icon.
HMODULE oleMod = LoadLibrary("ole32.dll");
mCursor = LoadCursor(oleMod, MAKEINTRESOURCE(6));
According to Hans Passant here:
http://stackoverflow.com/questions/3617862/custom-made-win32-drag-drop-cant-get-change-invalid-slashed-circle-cursor[
^] OLE takes control of the cursor when doing an *OLE* d&d. It seems reasonable to guess that it grabs the cursors it uses from its own dll. :)