Cursor capture option
Because of the way graphic interfaces work, your cursor usually isn't captured in an image. Pressing the Print Screen key will not capture your cursor. But all commercial programs that do captures do have some kind of option to capture the cursor.
But there's a trick—screen capture programs can't really see the cursor, either. So what they must do is add their own special cursor, and because cursors change shape, if you want a special cursor, you need to tell the program what cursor to capture. Each program has its own way to do this.
Not all screen capture programs allow you to capture the cursor. So, if your program doesn't, or you're using the Print Screen key, simply copy and paste one of these arrow graphics when you need a cursor. These images are transparent so you can drop them onto any shot.
These cursors also come in handy if you do a lot of "user defined" capturing (when your screen shot program lets you choose which part of the screen to shoot, by "drawing" a box around it--when you use that method, you are unable to capture the cursor.