I am sorry if this double post is not considered good taste, but I have something to add to the discussion, unrelated to the previous post.
I was going through my C:\WINDOWS\CURSORS folder, and noticed the default cursors are NOT located there; rather, they might be loaded into a DLL. In addition, for Internet Explorer, that link cursor might also be in a DLL.
I have copies of Resource Hacker and the Symantec Resource Editor, so I'll try making 2 copies of each of those DLLs, use one as a backup, modify the other, restart my computer (I make it go to the command prompt on startup), and replace the files. If it works, I'll post. If it doesn't, I'll restore backups and post.
I think that the default cursors would be in the SHELL32.DLL file, but if any of you think otherwise, feel free to tell me.
EDIT: Not in the shell32, I'll try Explorer and the such. But there are interesting resources in SHELL32.DLL