Yup, this was a well-known issue with the 1.6 beta...hasn't been fixed in the final. For the record, in testing the beta we found that the only screen you can safely alt-tab out of without causing the Windows cursor to appear is the tab/quick menu (you know, the one with four compass points for the map/items/etc?). Bring that up and then alt-tab out of the game and back in. That should keep the Windows pointer from appearing.
It won't get rid of the extra cursor if you've already got it, though. Only way to do that is to exit the game and reload.