How can I take a screenshot that includes the mouse cursor?

IrfanView has an option to include the cursor while taking screenshots. Press C to configure options and the hotkey. It is free for private, educational, and non-commercial use.

I've been very happy with Greenshot - you can turn on/off if mouse is captured or not + it has nice capability of adding notes and lines/arrows diretcly on the image after taking the shot. Great if you're creating user manuals or similar stuff. It's also free and open source.

http://getgreenshot.org/

(I'm not in any way affiliated with this product or it's author - just a satisfied user).

In Windows 7 you can also search 'psr' in the Start Search:

http://pcsupport.about.com/od/toolsofthetrade/ht/problem-steps-recorder.htm

This produces a .mht and images you can use in a tutorial.