You don't do that. You have to change them from the Control Panel.
Here's the instructions (This is from the Using Cursors page):
- In the Start menu, click on Control Panel.
- (XP,Vista) In the Control Panel, double-click on Mouse, or if you don't see that icon, switch to classic view and select Hardware and Devices. (7,8) In the Control Panel, switch to small icons and select Mouse. (10,11) In the Start menu, search up Mouse in search bar, hit enter and click on Additional Mouse Settings.
- Switch to the Pointer tab.
- Select a cursor to modify and click on Browse button.
- Navigate to the downloaded cursor.
- Repeat for another cursor role and then click OK.
If you are making a fresh new set, I'd recommend you use the blank set from the selection.
I'd also recommend reading the entirety of the Using Cursors page as it has more info.
Hope this helps! 😊