Quick tip. Don't use CursorManager.setCursor anymore. It works fine for single-window flex apps, but breaks once you have an AIR app with multiple windows.
UIComponent now has a cursorManager property that references the cursor manager for the current window. If you use that it'll work all the time, not just in web Flex apps.
I understand why they left CursorManager in there for backwards compatibility, but it's a shame we can't mark it as @deprecated like in the Java world.