There are two ways of doing this.
1. On start of layout -> Mouse|Set cursor from sprite (in this case, make sure the crosshair sprite is not larger than 64x64).
2. Every tick -> crosshair set position to X: Mouse.X, Y: Mouse.Y (make sure you set to X and Y, not AbsoluteX and AbsoluteY)
For the first option, see here for more info: (under Mouse Actions).