Actually,
Cursor.Current = Cursors.WaitCursor;
temporarily sets the Wait cursor, but doesn’t ensure that the Wait cursor shows until the end of your operation. Other programs or controls within your program can easily reset the cursor back to the default arrow as in fact happens when you move mouse while operation is still running.
A much better way to show the Wait cursor is to set the UseWaitCursor property in a form to true:
form.UseWaitCursor = true;
This will display wait cursor for all controls on the form until you set this property to false.
If you want wait cursor to be shown on Application level you should use:
Application.UseWaitCursor = true;