Include mouse cursor in screen capture using SharpDX

You could utilize the WinAPI's GetCursorInfo() function to get a handle to the current cursor. By then calling Icon.FromHandle() and passing the cursor handle as a parameter you'll get the cursor as a drawable icon.

As different cursors may have different hotspots you'll have to take that into account too. For this you can use the WinAPI's GetIconInfo() function to get the X and Y-coordinates for the hotspot, then you'll just have to substract the cursor's position with the hotspot's position.

The method for drawing the cursor:

Public Shared Sub DrawCursor(ByVal Graphics As Graphics)
    Dim CursorInfo As New NativeMethods.CURSORINFO With {.cbSize = Marshal.SizeOf(GetType(NativeMethods.CURSORINFO))}

    'Get the cursor info.
    If NativeMethods.GetCursorInfo(CursorInfo) = True Then
        Using CursorIcon As System.Drawing.Icon = System.Drawing.Icon.FromHandle(CursorInfo.hCursor) 'Get the cursor icon.
            Dim IconInfo As New NativeMethods.ICONINFO

            Try
                Dim ModifierPoint As New Point(0, 0) 'Declare the modifier point (the cursor's hotspot).

                'Get the info for the cursor icon.
                If NativeMethods.GetIconInfo(CursorInfo.hCursor, IconInfo) = True Then
                    If IconInfo.fIcon = False Then 'If the cursor is an icon the hotspot will always be (0, 0).
                        ModifierPoint = New Point(IconInfo.xHotspot, IconInfo.yHotspot) 'Set the hotspot modifier.
                    End If

                End If


                'Normalize the coordinates according to the hotspot.
                Dim FinalPoint As New Point(CursorInfo.ptScreenPos.x - ModifierPoint.X, CursorInfo.ptScreenPos.y - ModifierPoint.Y)

                'Draw the cursor.
                Graphics.DrawIcon(CursorIcon, New Rectangle(FinalPoint, CursorIcon.Size))

            Finally
                'Some cleaning up...
                If IconInfo.hbmMask <> IntPtr.Zero Then
                    NativeMethods.DeleteObject(IconInfo.hbmMask)
                    IconInfo.hbmMask = IntPtr.Zero
                End If

                If IconInfo.hbmColor <> IntPtr.Zero Then
                    NativeMethods.DeleteObject(IconInfo.hbmColor)
                    IconInfo.hbmColor = IntPtr.Zero
                End If

            End Try
        End Using
    End If
End Sub

NativeMethods.vb:

Imports System.Runtime.InteropServices

Public NotInheritable Class NativeMethods
    <StructLayout(LayoutKind.Sequential)> _
    Public Structure POINT
        Public x As Integer
        Public y As Integer
    End Structure

    <StructLayout(LayoutKind.Sequential)> _
    Public Structure CURSORINFO
        Public cbSize As Integer
        Public flags As Integer
        Public hCursor As IntPtr
        Public ptScreenPos As POINT
    End Structure

    <DllImport("user32.dll")> _
    Public Shared Function GetCursorInfo(ByRef pci As CURSORINFO) As Boolean
    End Function

    <StructLayout(LayoutKind.Sequential)> _
    Public Structure ICONINFO
        Public fIcon As Boolean
        Public xHotspot As Integer
        Public yHotspot As Integer
        Public hbmMask As IntPtr
        Public hbmColor As IntPtr
    End Structure

    <DllImport("user32.dll")> _
    Public Shared Function GetIconInfo(ByVal hIcon As IntPtr, ByRef piconinfo As ICONINFO) As Boolean
    End Function

    <DllImport("gdi32.dll")> _
    Public Shared Function DeleteObject(ByVal hObject As IntPtr) As <MarshalAs(UnmanagedType.Bool)> Boolean
    End Function
End Class

If you take the resulting screenshot you'd draw the cursor onto it like this:

Using g As Graphics = Graphics.FromImage(yourImage)
    DrawCursor(g)
End Using