Step One:
Once the cursor is on your desktop (or wherever you downloaded it to), you open My Computer, double click the C: drive, double-click the Windows folder (be careful in there...it's where your operating system lives!)...you may get a 'files are hidden' warning...click on Show Files.
Scroll down until you see a folder named Cursors. Double click on it to open it, then drag the cursor that you downloaded into the folder. You can now close all the windows that you had open.
Step Two:
Open up Control Panel>Mouse and click on the Pointers tab. Make sure Normal Select is highlighted. Click on the Browse button on the bottom. A window will open up with all the cursors in your Cursors folder. Scroll across until you find the one you want, click on it then click Open. You can then click on OK or Apply.
If you want to use multiple cursors, for example to replace the 'hourglass', you can put in different ones and use the same method, except select Working in Background or Busy and put in a different cursor...Your cursor will change when the computer is working on something...kinda fun.
Hope this helps!
Tacomaranch's DH