Sorry it took so long, I fell asleep last night.
Run Cursor.exe to start.
Replace "cursor-capson.cur" with your favorite cursor file to indicate the caps-lock-on state.
Replace "cursor.cur" with the normal, non-caps-lock cursor.
A great place to get cur files is http://www.rw-designer.com/cursor-library, or, there's a bunch in %SystemRoot%\cursors