Try going into 'Control Panel' through the start menu, and accessing the 'Mouse' option.
Under the 'Pointer Options' tab, uncheck 'Display pointer trails' and press 'Apply'. (this seems to be a common issue)
Under the 'Pointers' tab, uncheck 'Enable pointer shadow'.
If you are running Windows 7, or possibly Vista (not sure about vista), go into the 'Personalization' option within Control Panel, and try switching the theme from 'Aero' to 'Basic'.
From there, you could try installing the latest graphics drivers.
Find them here for Nvidia: (Often named 'GeForce'. Recent cards are in a series of '8xxx', '9xxx', '2xx', '3xx', '4xx', '5xx', '6xx'.)
Find them here for Ati: (Often named 'Radeon'. Recent cards are in a series of '3xxx', '4xxx', '5xxx', '6xxx', '7xxx'.)
Find them here for Intel: (Often referred to as embedded, onboard, or non-discrete.)