I have already made my own customize cursor, sadly. I am not sure, how to get control it, like a real mouse cursor like on your pc. I am trying to set it, for my game, that I am making. I try learning from an old version video, on youtube on how to do this, but sadly the new version is more different what it shows, that I realize. Anyways, If anyone knows how to do this, that be really helpful, More helpful to show me a video, on how to do this, cause I am not good with reading instructions, but either way, I will try my best to fellow best I can. 
You need a little bit of Python to place your 3D object at the hitPosition of a mouse over any sensor.
You can use the technique described in 3D Cursor - a way to add your own custom 3D cursor (2.49/2.5+)
A recent issue I faced, is how to use the mouse over through a actor without using xray.
I cast a ray from the camera to the hitpoint with the actors hitBox casting the Ray, so it in effect casts right through him whatever distance you put in the raycast.
One neat method is placing a plane that tracks to the camera, so you do crosshairs etc.
I wrote a custom cursor class last year and a tutorial on using it: https://whatjaysaid.wordpress.com/2014/05/05/bge-custom-cursor/
Hope this helps!