If you have Windows 10, you can ask Cortana to open the "Mouse" settings. From there, you search through and find the tab that has your cursor settings. This way is for most Windows computers, although you would have to open the Control Panel first (unless you want to search for it).
What I do is I take the cursor (or cursor pack) and I extract them to create a folder containing all of the cursors for that pack. Then I simply move it into C:\Windows\Cursors directory.
I love custom cursors, and the people who make them do a great job! <3
Oh, and does anybody know how to install cursors on Linux? I'm really new to it, but I would like to be able to have something other than the plain white arrow. It gets boring after a while.
Unfortunately, I don't know how to do it for the MAC OSX either. Although, Google is a great friend when it comes to tutorials!