Did you associate the files from Windows or from the editor? If from Windows, you'll likely have to dive into registry to fix it (namely deleting everything under HKEY_CURRENT_USER\Software\Microsoft\Windows\
CurrentVersion\Explorer\FileExts\.cur and HKEY_CURRENT_USER\Software\Microsoft\Windows\
CurrentVersion\Explorer\FileExts\.ani and then disabling and enabling associations within the editor).
If you used Change Cursor and it stopped working, this is natural - you'll just need to re-install it to reactivate the functionality each time you change the associations.