I never had this problem before, but now every time I load up Skyrim (regardless of whether I launch it from Steam or through SKSE which I normally use) the Windows 7 Loading Cursor (Little blue animated circle) stays on my screen, It is very annoying since it moves as a much more drastic speed than the game's cursor and when playing I have an annoying blue circle flying about.

I've minimized the number of programs I have running in the background, and even restarted several times, but no matter, every time I load up Skyrim that damn cursor is back and I have no idea how to get rid of it?

Memory problems? I know when windows gets low on memory it can show up the cursor while in game. Other than that, have you checked your graphics drivers are up to date? It could be a minor driver glitch that an update may resolve.

It also happens when you alt+tab out of the game then go back in, check for that.

Video Drivers are up to date, I have 16GB RAM with a GeForce GTX 550 Ti (1GB VRAM) so I doubt it's memory issues. I checked the active processes and aside from windows-related I just have ZoneAlarm (Firewall), AVG (AntiVirus), PeerBlock (Internet Anonymity Program) and UltraMon (Multi-Display Program since I use 2 monitors)

Ah dual screen user same as me. Tbh I would dump ultra-mon its a junk program thats not required. Your Nvidia card automatically comes with mutli-screen support in the drivers, all you have to do is set it up.

I use Hydra, its part of the AMD drivers for multiple monitors. Nvidia has its own system, you should use that instead of a 3rd party app that can interfere with the graphics drivers method.

Also I would advise getting rid of AVG in favour of MS Security Essentials. AVG is known to have multiple issues with games, particularly those with DRM attached. Same for Zone Alarm, it also has many many problems with games causing black screen crashes and CTD's. Use either the built in MS firewall in windows or use a router with a firewall. And as a final point, you dont need peerblock when gaming its only wasting resources.

I used to use both AVG and ZA myself and had major problems with many many games. Now with the MS stuff and a good router/firewall I am hunky doary for gaming and very rarely have an issue these days.