Confine the cursor to a window

Set the CursorOptions through the primary_cursor_options of the WindowPlugin:

use bevy::prelude::*;
use bevy::window::{CursorGrabMode, CursorOptions};

fn main() {
  App::new()
    .add_plugins(DefaultPlugins.set(WindowPlugin {
      primary_cursor_options: Some(CusrorOptions {
        grab_mode: CursorGrabMode::Confined,
        ..default()
      }),
      ..default()
    }))
    .run();
}

This currently has poor cross-platform support and won't work on macOS.

The cursor grab mode can also be easily overwritten from a system if you need something more dynamic:

// This system grabs the mouse when the left mouse button is pressed
// and releases it when the escape key is pressed
fn grab_mouse(
  mut cursor_options: Single<&mut CursorOptions, With<Window>>,
  mouse: Res<ButtonInput<MouseButton>>,
  key: Res<ButtonInput<KeyCode>>,
) {
  if mouse.just_pressed(MouseButton::Left) {
    cursor_options.visible = false;
    cursor_options.grab_mode = CursorGrabMode::Locked;
  }

  if key.just_pressed(KeyCode::Escape) {
    cursor_options.visible = true;
    cursor_options.grab_mode = CursorGrabMode::None;
  }
}