This is a simple thing, but every time I wanted to do it I found myself searching Google.
The following code assumes that the variable 'pl' is the parameter list used to initialize the OIS Input Manager.

Just to be clear: the system cursor is the default arrow used by the operating system you're using.

Snippet
pl.insert(std::make_pair(std::string("WINDOW"), windowHndStr.str()));
#if defined OIS_WIN32_PLATFORM
      pl.insert(std::make_pair(std::string("w32_mouse"), std::string("DISCL_FOREGROUND" )));
      pl.insert(std::make_pair(std::string("w32_mouse"), std::string("DISCL_NONEXCLUSIVE")));
      pl.insert(std::make_pair(std::string("w32_keyboard"), std::string("DISCL_FOREGROUND")));
      pl.insert(std::make_pair(std::string("w32_keyboard"), std::string("DISCL_NONEXCLUSIVE")));
#elif defined OIS_LINUX_PLATFORM
      pl.insert(std::make_pair(std::string("x11_mouse_grab"), std::string("false")));
      pl.insert(std::make_pair(std::string("x11_mouse_hide"), std::string("false")));
      pl.insert(std::make_pair(std::string("x11_keyboard_grab"), std::string("false")));
      pl.insert(std::make_pair(std::string("XAutoRepeatOn"), std::string("true")));
#endif