You can do it with 'Steps Recorder', also called 'Problems Steps Recorder' to take a screenshot with mouse cursor.

Click on Start button > go to Windows Accessories > click on Steps Recorder. This small tool opens.





Now click on Start Record > take your screenshots with Alt + Prnt Scrn . Now click on Stop Record.

In the preview window that opens now, save the file as zip (give it any name).

Now go to your folder where you saved the zip file > double click on it. It opens in a new window with all the screenshots. Click on the screenshots, it gets larger > now click right mouse button > save the image in any image format (*.png or *.bmp).

Now you can open the image on any image editing program like Photoshop or GIMP2 and edit further on.

I found it's the best way to take screenshots with mouse cursor

Brilliant - thank you! I have been looking for a solution to capturing the cursor for a while.