I think what a lot of games do is actually disable the mouse cursor and instead use some D3D API to directly read velocity values from the mouse driver. That way the cursor isn't actually moving and you're getting accurate mouse info. Check out Raw Input maybe?
If that doesn't work/isn't applicable/overkill, maybe ClipCursor would do the trick? It tends to go away when the user clicks, though, so it wouldn't be foolproof, and you need to remember to disable it when you lose focus. I don't recommend ClipCursor, though. It's probably one of those evil solutions that only corporate managers find elegant.