this is gonna be hard for me to explain it all... but i will do my best, couse i'm dutch and my english.. you know :lol:

first.. you need a plugin for photoshop... so you can save your cursor as ".cur" file B) you can download it up here i hope it works, on my pc it does :)

then:
1. creat your own cursor, with a transparate background :) you can use the lasso tool... and fill it with black, then "add a layer style" and add some effects, it's just an option :D
2. select the background (the transparant parts) en fill them with black (it has to be merged, the layers)
3. go to the channels palet and save it as a channel, then click the new channel ;)
4. deselect
5. put your colors to 256
image => mode => indexed color
(pallette = local (perceptual) the other things are good allready)
6. go tot the channels palet again and load selection (the button left of the "save as channel"-button)
7. go back tot the layers palet and click the layer once
8. fill the selection with black
9. then save your creation as a .cur file and you can add it on your pc

configuration screen (i guess) then click the "mouse" icon and add you cursor

i hope you have understand my tutorial, if the answer is no, just ask :D
i have a creation to (i did it fast, to try it) you can find it here
i hope the URL works :D i haven't tried out yet

good luck with it :D