I want to draw a small circle on screen wherever my mouse cursor moves.
No need for pro. Create a guiTexture. As texture put in an image of a circle (with the rest of the image having an alpha channel so it’s invisible). Be sure to put the pixeloffset x and y at minus half of the width/height of the texture, so it’s exactly centered. Now just add a script to the guiTexture making it’s position relative to the position of the cursor.
Since a guiTexture’s transform.position x and y go between 0 and 1 from one side of the screen to the other, and Input.mousePosition x and y go between 0 and screen.width and height you’ll want to make the transform.position.x equal to Input.mousePosition.x / Screen.width, and same for the y position.
An example script can be found here. It’s a bit overkill for what you want though. You can btw combine this with Screen.showCursor = false to have a custom cursor.
If you have Pro, perhaps consider using the GL API to draw your circle as a series of short lines. See:
http://unity3d.com/support/documentation/ScriptReference/GL.LINES.html
The example here draws a line to where the mouse is, so is very close to what you want. If you are not a Pro user, then you might want to use a GUITexture. I think you can use the Pixel Inset to get the positioning to follow the mouse.