So if you are trying to set your mouse cursor to a sprite right now you may be running into issues with it on IE & Chrome. It may not let you or only let you set it once, along with that you may want your mouse cursor to be animated and treated better as a object with properties a mouse might not be able to give.
First things first create your mouse cursor image.
Then once you have that made you will need to import it into construct 2 as a sprite object.
Load the image where ever you have saved it into the actual sprite object, if you have it animated you will want to look at the animation bar at the bottom and import them that way by right clicking and by file, or just manually adding each frame of animation.
You will of course need to import the construct 2 mouse plugin object into your project some where
Next thing you will need to do is create a on start of layout event, in that event you need set the mouse cursor style to None.
Then after that you need to have it create your mouse image sprite object on the top layer x = mouse.x: y = mouse.y.
The final step is to have it always update to the mouse's position. So you create a on every tick event, and in it you create a action to set position of your sprite object to mouse.x & mouse.y