I dont know how to make my own how do you make them.
Are you trying to make your own icons or cursors?
The best way to start on either one of those would be to click on the blue "Software" tab and download the appropriate software.
If you want to make cursors but don't want to have to download anything go to http://www.rw-designer.com/online-cursor-editor to create your own cursors online.
Find out how Vista icons differ from XP icons.See how RealWorld Icon Editor handles Vista icons.