try this code. i haven't tested it,but it should work
this.MouseWheel += new MouseEventHandler(CallMeOnMouseWheelUse);
void private CallMeOnMouseWheelUse(object sender, MouseEventArgs e)
{
if (e.Delta > 0)
{
this.Cursor=Cursors.Cross;
}
else
{
this.Cursor=Cursors.IBeam;
}
}