I experience the same problem that A61 experiences.
It happens on both my Win 98SE and Win98 systems.
The problem occurs on both avast 4.1 and beta 4.5. I'm using a logitech wheel mouse, using standard MS drivers.
From my experience, you won't see the move cursor the first time you go into the settings menu, but it will show up after about the 2nd or 3rd time you open up the settings menu.
I think what is happening is that when you open up the settings menu, that menu overlays ontop of the area where the avast main default skin is... and below that area (on the bottom left of the skin where it says Avast!) is where the move cursor normally shows up when you want to move the skin around on the desktop... but if you toggle back and forth from the skin to the settings menu, the move cursor gets stuck and won't toggle off to the normal mouse pointer whilst in the settings menu.