I set the wait cursor using Cursor.Current = Cursors.WaitCursor;. Why does does it disappear before I want it to
Setting the Current property changes the cursor and stops the processing of mouse events. Setting the cursor back to Cursors.Default restarts the mouse event processing and displays the proper cursor for each control. If a DoEvents is called before you reset the cursor back to the default, this will also start up the mouse event processing and you will lose the particular cursor you set. So, if your WaitCursor is disappearing, one explanation might be that DoEvents is getting called.
Here is some code that sets a WaitCursor.