PNG does not have a standard for layers. If you have a file with .png, it probable uses a custom extension and calling it a .png is just confusing things.
That said, what you want is possible. If your picture already has the right size for a cursor, create a cursor from the first layer and then switch to the Layers tab and drag and drop the individual layers onto the pane (or use the Import layer button). If your source file has incorrect size for a cursor, there are several ways how to continue, but the easiest way is probable to first resize them all.