You need to grab the image from the back buffer.
Graphics 1024, 768, 0
Global dot:TImage = CreateImage(40, 40)
SetColor 255, 250, 250
DrawOval 0, 0, 15, 15
GrabImage(dot,0,0)
HideMouse
While Not KeyHit( KEY_ESCAPE )
Cls
SetColor 100, 250, 100
DrawImage dot, MouseX(),MouseY(),0
Flip
Wend
End