What you need is mpl_canvas. Follow this tutorial to set one up.
With an mpl_canvas, you can then set up events that get triggered.
fig = matplotlib.figure.Figure()
cid = fig.canvas.mpl_connect('button_press_event', your_method)
There are several kinds of signals under here (listed under Events).
With your signal set up, your_method gets called, with an event parameter. So do something like:
def your_method(event):
print('Your x and y mouse positions are ', event.xdata, event.ydata)
Click on the corrosponding Class and description links to see what exactly is in event. for a specific mpl_canvas Event.
In your specific case, to change how the mouse looks your_method should look something like:
def your_method(event):
#changes cursor to +
QtGui.QApplication.setOverrideCursor(QtGui.QCursor(QtCore.Qt.CrossCursor))