WM_INPUT or DirectInput

For Mice:

Drawing a cursor: Use Windows Messages. This allows your application to benifit from windows' sensitivity settings, and other useful features.
Actual game control: Probably using DInput would be easier, and that's what I usually do, but it wouldn't provide any performance benifits.

For KBs:

Text Input: Use WM. This gives you a lot of nice features, such as different keyboard set support, automagically handling caps letters, etc.

Actual Game Input: Probably DInput is easier to implement, and again, that's what I use mostly, but again, no actual performance benifits in using it, you just don't need to keep track of when a key is down and when it's up.

Hope this helps.

My advice, while a bit biased, is to use an Input System already made. In fact, I would, no surprise :), recommend my own input library for your use - Object-Orient Input System (OIS). Works under Win32 & X11/Linux. Handles keyboard, mouse, and joysticks. Gives you both event and polling API at the same time, and can also handle text (some dead keys, captial/shift handling, different locales). If you want to go this route, I recommend you grab cvs v1-0 from the sourceforge.net/projects/Wgois cvs.

I'm also surrently implementing WiiMote support (just a few threading issues to hammer out for that) in cvs head (what will be 1.1). Also, for the 1.1 release, I hope to support Xbox 360 controller (via XInput), and LIRC/WinIRC. And if easily doable, WiiMote support under Linux too.

Search through the DirectXDev mailing list archives. This exact topic was discussed in some detail a while back - including some useful comments direct from the Microsoft engineers.

hth
Jack