Putting a backslash before a quote mark is a no-no. It shows an error because it doesn't know what to do with the backslash. Put it inside the quote to print it or remove it if you don't want it printing.
print "Press up for pointer 0"
print "Press left for pointer 1"
print "Press right for pointer 2"
print "Press down for pointer 3"
print "Pointer number=",k
To get cursors to show up you need to add them to the project. On the right side of the Darkbasic Pro editor is a sidebar that has buttons at the bottom. Push the one that says "CURSORS" and click on "ADD" at the top of the sidebar. The first cursor you add will replace the default one and so on. The Editor can use animated cursors (.ANI) but it'll complain that it doesn't know what an .ANI file is. I use Blue IDE and it will take .ANI cursors but it won't replace the first two default cursors (the pointer and the hourglass)... which is the way that command should work.
I took a capture of the output of your code (in the default editor) and a picture of the sidebar with cursors added to show you your code works (with the backslashes removed).
Hope this helps.