This happens because some parts of the graphical interface are oblivious to color profiles. The mouse cursor is drawn internally by the video card, so under most circumstances, Windows doesn't take control of the color - as far as I understand, it just passes a bitmap outline to the video card.
Similarly, video content is generally drawn in an "overlay" for better performance, though this does bring in interesting side effects, such as the lack of color correction for the content within the video overlay (also, try taking a screenshot of an overlay, or if you have menu shadows enabled, right click just above the upper corner of Media Player to obscure the video by a context menu). Your video card drivers may offer limited controls to tweak the video overlay color in the Advanced dialog under the Settings tab of your Display Properties. I don't have much experience in video editing, especially with Windows (I've only fiddled with FCP on Mac), but perhaps a "real" video editing program like Premiere would respond better to your color profiles?
I'd appreciate any insight into the following problem. I've calibrated my Trinitron monitor with a ColorVision Spyder and I've been happy with the results, particularly when printing photographs. However, when I view a video file (downloaded from a mini DV camera as an AVI file), the on-screen image is noticeably 'cool' Its almost as if the photo manipulation and viewing programmes are 'aware' of the new monitor profile, but video display programmes (such as Windows Media Player) are not and show the video at a much higher colour temperature. Incidentally, even the on-screen mouse pointer is now a distinct shade of blue!
Any help on this issue would be appreciated