1. Access your Control Panel via the Start Menu (Start -> Control Panel) or My Computer (under the "Other Places" Section on your left). Figure 1
2. Double click the Mouse icon and click on the Pointers tab on the window that comes up, to find something like the picture at right.
3. Now you can customize your cursors. Just click the cursor you want to change, and click "Browse..." on the bottom.
4. Select the cursor file (CUR or ANI) that you want for that category and select Open, or OK (whichever one is applicable).