try plugging both PS/2 & serial mouse (or mice) o your system & see if u have 2 cursors instead of one.
i.e., can't happen. both mice will wrestle for the control of one cursor. if larian can isolate the unified control of the cursor & make each control a separate cursor, then my friend, larian is way way way better than microsoft.
another 2 cents.
That's no problem with DirectX, even I could do it, I think. Just because Windows doesn't do it, doesn't mean it's impossible.
Have you played Serious Sam? It works there. It even works in Settlers 1 & 2, and those are dos games.