In the past, WoW was able to take a cursor file and use that instead of the default one WoW uses. Blizz changed it several patches ago to require you to put that file into an MPQ container before the WoW client will use it.
I'm attaching the one I use to this post and will explain how to create your own later if others are interested.
Just drop the file into <Your WoW Folder>/Data/enUS (or whichever folder matches your language settings) and then run WoW.