Here it is:
import javax.swing.*;
import java.awt.* ;
import java.awt.event.*;
class example extends JFrame
{

 example ()
 {
    super ( "Wait Cursor Problem" ) ;
    final JButton btnShowDialog = new JButton ( "Show Dialog" ) ;
    btnShowDialog.addActionListener ( new ActionListener ()
    {
      public void actionPerformed ( ActionEvent e )
        {
            new exampleDialog ( example.this ) ;
        }
    }
    );
    getContentPane().setLayout ( new FlowLayout () );
    getContentPane( ).add ( btnShowDialog ) ;

    setBounds ( 0 , 0 , 600 , 400 ) ;
    setDefaultCloseOperation ( WindowConstants.EXIT_ON_CLOSE );
    setVisible ( true ) ;
}

public void showWaitCursor ( boolean bShow )
{
   this.getGlassPane().addMouseListener( new MouseAdapter() {});
   this.getGlassPane().addKeyListener ( new KeyAdapter() {});

this.getGlassPane().setCursor(Cursor.getPredefinedCursor(Cursor.WAIT_CURSOR));
  //this.setCursor ( Cursor.getPredefinedCursor ( Cursor.WAIT_CURSOR )
);
   this.getGlassPane().setVisible ( bShow ) ;
}

public static void main ( String[] args )
{
 new example () ;
}
}

final class exampleDialog extends JDialog
{
    private example mainframe = null ;

exampleDialog ( example parent )
{
    super ( ( Frame ) parent , "Long-running Task" , true ) ;

    this.mainframe = parent ;

    final JButton btnStartTask = new JButton ( "Start Task" ) ;
    btnStartTask.addActionListener ( new ActionListener ()
    {
        public void actionPerformed ( ActionEvent e )
        {
            longTask ( ) ;
        }
    }
    );
    getContentPane().setLayout ( new FlowLayout () );
    getContentPane().add ( btnStartTask ) ;
    pack ( ) ;
    setSize ( 300 , 200 ) ;
    setDefaultCloseOperation ( WindowConstants.DISPOSE_ON_CLOSE ) ;
    setVisible ( true ) ;
 }

 private void longTask ()
 {
    mainframe.showWaitCursor ( true ) ;
    try
    {
        Thread.sleep ( 5000 ) ;
    }
    catch ( InterruptedException iexp )
    {
    }
    mainframe.showWaitCursor ( false ) ;
 }
}

Hope this helps.

Best regards.