static extern IntPtr CopyIcon(IntPtr hIcon);

Public Shared Function CopyIcon(ByVal hIcon As IntPtr) As IntPtr

#define CopyCursor(pcur) ((HCURSOR)CopyIcon((HICON)(pcur)))

That means: instead of CopyCursor use CopyIcon instead.

private static extern IntPtr CopyIcon(IntPtr hcur);

     SetSystemCursor(CopyIcon(cursor), OCR_NORMAL);

See example at http://www.pinvoke.net/default.aspx/user32/copyicon.html