I use IE 8. Happens even with the browser closed if that is a factor.
I think it is going to be a tough one to reproduce. I can't give you any real useful information about how to do it. It's an intermittent problem, the worst kind to try to document.
I did notice something just now though. Because of a different problem, I terminated the zd client and desktop processes with task manager. When I restarted desktop, the cursor problem went away. ATM it is working properly.
It may not be a solution, but it could be a workaround.
If I can offer anything else helpful to track it down, I certainly will.
Thanks for following up!