The "cursor" you refer to, is actually called the caret in Windows. This is can only be changed with the appropriate Win32 API calls - there is no native capability in VFP (at least not any version so far). For better idenitfication of the current field on the form, many will set the Selected property on in text fields, or they will change the background and foreground colors to something contrasting in the GotFocus() and LostFocus() methods. If this will satisfy your requirements, it's easy to put the code in your textbox base class.
Rick