loolz some of you guys r noobs it isn't called 'mycursor.cur', it's called whatever you named it and it's located wherever the default download location is.
You can change it on a mac, but you need to dive deep into OSX's default images and replace them.
On Windows 8, I imagine it would be similar to Windows 7.
It is a '.zip' file which means it is compressed. Simply use something like Zipeg for mac or 7Zip or winRAR for PC and drag it straight to the desktop or location you want it to be.
If your mouse is invisible, you have failed somewhere along the line and replaced the basic cursor with some other non-compatible file.