Title says it all. :)
http://unity3d.com/support/documentation/ScriptReference/Input-mousePosition.html
Get position of the mouse, and then draw an object (GUI Texture perhaps) at that position...
Should work =).
Or if you want you can look at a free finished script I made for this question:
http://answers.unity3d.com/questions/14792/gun-object-following-mouse/14794#14794
=) Enjoy!
Go to File > Build Settings > Player Settings > PC,MAC,LINUX > Select Cursor Texture
Cursor.SetCursor(Texture2D,CursorMode)