You have the right way w.r.t function syntax if that is what you mean. A more concise way would be an empty string:
MouseAppearance[Graphics@Circle[{0, 0}], ""]
If that doesn't work on Windows try
MouseAppearance[Graphics@Circle[{0, 0}], Spacer[0]]
(BTW for fun try this modified example from the docs:
cur = Graphics[{Red, Polygon[{{0, 0}, {1, 0}, {.5, 1}}],
Polygon[{{0, 3}, {1, 3}, {.5, 2}}], Dashing[Small],
Line[{{.5, 1}, {.5, 2}}]}, ImageSize -> Large];
MouseAppearance[Style["Select this text.", 36], cur, {.5, 1.5}]
Evaluate this at the bottom of a notebook and what you should see is that the graphic goes outside of the notebook.)
Edit
John Fultz has just posted an undocumented mouse appearance "Obscure" that does what you need
MouseAppearance[Graphics@Circle[{0, 0}], "Obscure"]