Ways to install cursors have been unhelpful as always with Linux, it's proggies and the sparse documentation you get with any package. I am on Slackware 10 and for some reason I have to install cursors globally so if you are like me then this is for you!
First get the icon theme and if it's folder do as root.
$tar -zxvf cursortheme.tgz /usr/X11R6/lib/X11/icons/ && cd /usr/X11R6/lib/X11/icons/
all that should extract the cursor folder to that directory and then you should be in /usr/X11R6/lib/X11/icons/ and see the folder you just placed there. Also you will see index.theme. cat index.theme Default will look like this:
You don't want that ugly default theme. So lets say the folder you just extracted is Grounation (nice look). Then open up index.theme in your fav editor and place the name of whatever cursor folder you have there. Eg.
log out and log back in and voila. Warning: this will replace cursors system wide. I do this way because crappy other ways in my ~/.icons/default do not work!
Btw, this is for Gnome and other stuff. KDE has easy to use configuration in kcontrol to change cursor.