I do not know why you want to convert C# code to VB6.0 ;-)
What I would like to suggest is, try to convert the C# code to VB.Net initially then convert VB.Net code to VB6.0.
Probably it would be easy for you to do it.
I have converted C# code to VB.Net code for you
Public Shared Function CreateCursor(bmp As Bitmap, xHotSpot As Integer, yHotSpot As Integer) As Cursor
Dim tmp As New IconInfo()
tmp.xHotspot = xHotSpot
tmp.yHotspot = yHotSpot
tmp.fIcon = True
Return New Cursor(CreateIconIndirect(tmp))
Public Structure IconInfo
Public fIcon As Boolean
Public xHotspot As Integer
Public yHotspot As Integer
Public hbmMask As IntPtr
Public hbmColor As IntPtr
Now its your work to rewrite the concept from VB.Net to VB6.0
Hope this helps you a bit.