How do I change the cursor over an Applet?

You can use java.awt.Component's setCursor(java.awt.Cursor) method.

Create a (system-looking) cursor with the java.awt.Cursor constructor and class constants (DEFAULT_CURSOR, HAND_CURSOR, WAIT_CURSOR, etc).

import java.awt.*;
import java.applet.*;

public class CursorApplet extends Applet {

    public void init() {
	
        setBackground(Color.red);
        setCursor(new Cursor(Cursor.HAND_CURSOR));
        
    }

}