How To Create Cursors
Cursors on Windows XP and Windows Vista currently support a size of 32×32 pixels only. Color depth can be up to 32-bit which means cursors can be alpha-transparent.
So to create a cursor you first create a 32×32 pixels sized image in Photoshop or whatever your preferred image editor is. For an animated cursor you´ll need an image for each frame. After that you use a cursor editor that allows you to make a CUR (or ANI) file.
A free online cursor editor is cursor.cc . A free downloadable cursor editor, that supports alpha-transparent animated cursors, is Real World Cursor Editor . An other free cursor editor, that also supports alpha-transparent animated cursors, is AniTuner
A suboptimal method for making cursors is to use GIMP (it may also work in photoshop; not sure). Make a 32×32 pixel image with a transparent background and draw your cursor in it. Save the file as a Windows Icon (.ico), then manually change the filetype to .cur. This might be dangerous, because .ico and .cur file formats are not 100% equal and you will not be able to set the cursor hot spot (the clicking point).
This method won’t handle animated cursors though, and you can’t use it to edit cursors even if you change the filetype to .ico first.
Cursors can be changed by webpages, but Firefox and the Chrome browser don’t support animated ones.