what will do this Cursor.Current = Cursors.WaitCursor

It is the "normal select" mouse pointer defined under Win32 Control Panel.

Normally you only need to set Cursor.Current = Cursors.WaitCursor, once your
event finishes Cursor.Current will revert back to Cursors.Default, as
Application.DoEvents will implicitly have be executed.

Where you need to be careful is if you explicitly call Application.DoEvents
while processing an event. Cursor.Current will revert back to
Cursors.Default. (The remarks under Cursor.Current.)

Remember that .NET looks at the Control.Cursor property under the mouse to
display the cursor, if Control.Cursor = Cursors.Default it will look at
Cursor.Current.

Also remember if you don't explicitly set Control.Cursor it will be set to
the value of its parent, which ultimately will be a Form...