By doing some searching in the 10.2 help, I was able to find the cursor methods and properties in the ESRI.ArcGIS.ADF.Local assembly here. These types of assemblies cannot be loaded with the "Add ArcGIS reference", but will be found in the "Add Reference" dialog.
I was able to find that library now, but the example no longer works. The mouse icon seems to flicker, as if its trying to change the icon, then icon stays as an arrow and does not convert to the icon I specify.