I had the same problem as taratx. Moreover I couldn't find any solution in the Net. Google told me nothing useful. At this point I decided to solve the problem myself. After just a few tries I found the source of strange mouse cursor behaviour.
Pharaoh is rather an old game. It assumes that the screen resolution is 640x480. If your desktop has another resolution - you've got the problem. Even virtual desktop makes trouble. My solution is to run the Pharaoh in window with proper dimensions.
Here follows required configuration lines. Put it in the ~/.transgaming/config in <wineconf> </wineconfg> section.
Code:
;; Pharaoh
[AppDefaults\\Pharaoh.exe\\x11drv]
"Desktop" = "640x480"
Have fun.