Preface
Creating custom cursors in Flex is pretty straightforward.  You call the CursorManager’s setCursor method, passing in your cursor as the first parameter, and you’re good to go.  It can be an image, a SWF, or a custom class; as long as it’s a DisplayObject, it’ll work.  However, some cursors are more dynamic than just animating to indicate a state, or showing some text to let the user know what’s happening.  Some can show some minor status of what is going on.  I say the word “minor” here to indicate that you can still operate the app, and the cursor should still imply you can click around the app, or indicate the type of interaction you can do.