So I found the wonder of Greyface's and I now have a pretty awesome WASD+Mouse set up going on in MM6. But the clunky Windows old style cursor is in the centre of the screen permanently. How I could change this to a crosshair or something?

My best guess for changing the mouse cursor in MM6 would be to change the default one in Windows. If you have already tried that, then maybe the icons.lod file could be edited using the MM7View program.