You're looking for the Cursor.Hide() method.
Note that the cursor will still be movable, it just won't be visible.
If you're running with Visual Styles enabled, it would be still possible to use the mouse by tracking hover effects.
However, anyone capable of doing that probably doesn't need your course.
A more "fun" way of doing this would be to hanle the MouseMove event and set Cursor.Position to prevent the mouse from moving into your panel.