This can't be done in Excel VBA.
In theory you could subclass Excel to try to trap the MOUSEMOVE windows messages, then test to see whether the current mouse co-ordinates are the same as your set of special cells and in in which case set the mouse icon accordingly. In practice, however, subclassing Excel in VBA rarely works as VBA is too slow to process all the messages and Excel tends to crash.
If you were really desparate to get this sort of functionality then you could try looking at writing some custom add-ins for excel in VB
/ C++ but you're getting a bit out of my depth there and it will be a lot of work to achieve the effect.