It really wouldn't be too difficult or confusing for an option to be added to do what argv0 suggested, but to also have an optional 0-3 or however many are needed for commonly used cursors.
Basically, if you want no cursor, you use 0. If you want a normal cursor, you use 1 (or nothing). If you want a hand cursor, you use 2. If you want an hour glass (xp and older)/ring (vista and newer), you use 3. And so on. And then if you want a custom cursor, you replace the number with the dll/exe and index. If mIRC sees anything other than a number, it assumes you're using a dll/exe with index.
Just an idea anyhow. It would need to be laid out in a way that makes sense and is easy to use, but I think that sort of method would work well.
#Invision on irc.irchighway.net