How do I capture the mouse move event

You could use a low level mouse hook. See this example and check for the WM_MOUSEMOVE mesage in HookCallback.

You could also use the IMessageFilter class to catch the Mouse Events and trigger an event to get the position (note: this will only get the position over the window, not outside of it):

using System;
using System.Collections.Generic;
using System.ComponentModel;
using System.Data;
using System.Drawing;
using System.Text;
using System.Windows.Forms;

namespace GlobalMouseEvents
{
   public partial class Form1 : Form
   {
      public Form1()
      {
         GlobalMouseHandler gmh = new GlobalMouseHandler();
         gmh.TheMouseMoved += new MouseMovedEvent(gmh_TheMouseMoved);
         Application.AddMessageFilter(gmh);

         InitializeComponent();
      }

      void gmh_TheMouseMoved()
      {
         Point cur_pos = System.Windows.Forms.Cursor.Position;
         System.Console.WriteLine(cur_pos);
      }
   }

   public delegate void MouseMovedEvent();

   public class GlobalMouseHandler : IMessageFilter
   {
      private const int WM_MOUSEMOVE = 0x0200;

      public event MouseMovedEvent TheMouseMoved;

      #region IMessageFilter Members

      public bool PreFilterMessage(ref Message m)
      {
         if (m.Msg == WM_MOUSEMOVE)
         {
            if (TheMouseMoved != null)
            {
               TheMouseMoved();
            }
         }
         // Always allow message to continue to the next filter control
         return false;
      }

      #endregion
   }
}

Here is the solution. Although I can see another answer with a similar approach. But since I wrote it I want to post it. Here MouseMessageFilter has a static event call MouseMove which you can subscribe from anywhere within the application.

static class Program
{
    [STAThread]
    static void Main() {
        Application.EnableVisualStyles();
        Application.SetCompatibleTextRenderingDefault(false);            
        Application.AddMessageFilter(new MouseMessageFilter());
        MouseMessageFilter.MouseMove += new MouseEventHandler(OnGlobalMouseMove);

        Application.Run(new MainForm());
    }

    static void OnGlobalMouseMove(object sender, MouseEventArgs e) {
        Console.WriteLine(e.Location.ToString());
    }
 }

class MouseMessageFilter : IMessageFilter
{
    public static event MouseEventHandler MouseMove = delegate { }; 
    const int WM_MOUSEMOVE = 0x0200;

    public bool PreFilterMessage(ref Message m) {

        if (m.Msg == WM_MOUSEMOVE) {

            Point mousePosition = Control.MousePosition;

            MouseMove(null, new MouseEventArgs(
                MouseButtons.None, 0, mousePosition.X, mousePosition.Y,0));
        }    
        return false;
    }
}

Here is a solution for WPF with a global mouse handler over the whole application. I use this also due to other mouse issues in WPF.

using System.Windows.Interop;  

private const int WM_MOUSEMOVE = 0x0200;
public delegate void Del_MouseMovedEvent(Point mousePosition);

// Relative to this control, the mouse position will calculated
public IInputElement Elmt_MouseMovedRelativeElement = null;

// !! This is static; needs special treatment in a multithreaded application !!
public static event Del_MouseMovedEvent Evt_TheMouseMoved = null;

// your main function call
public MyMainWindows()
{
    // install the windows message filter first
    ComponentDispatcher.ThreadFilterMessage += ComponentDispatcher_ThreadFilterMessage;

    InitializeComponent();
    
    ...
}   

// filtering the windows messages
private void ComponentDispatcher_ThreadFilterMessage(ref MSG msg, ref bool handled)
{
    if(msg.message == WM_MOUSEMOVE)
    {
        this.Evt_TheMouseMoved?.Invoke(Mouse.GetPosition(this.Elmt_MouseMovedRelativeElement));
    }
}

// individual event for mouse movement
private void MyMouseMove(Point mousePoint)
{
    // called on every mouse move when event is assigned
    Console.WriteLine(mousePoint.X + " " + mousePoint.Y);
}

private void AnyFunctionDeeperInTheCode()
{
    // assign the handler to the static var of the main window
    MyMainWindows.Evt_TheMouseMoved += MyMouseMove;
    
    // set the element / control to which the mouse position should be calculated; 
    MyMainWindows.Elmt_MouseMovedRelativeElement = this;

    ...
    
    // undassign the handler from the static var of the main window
    MyMainWindows.Evt_TheMouseMoved -= MyMouseMove;
}