Transcode a GIF File Into CUR for Free Downloads
GIF is a bitmap image format that uses a custom 256-colour palette for each image. It's best known for the small size of resulting image files and its support for animated images.
CUR is the format used by Windows for storing non-animated mouse cursor images.
The listed applications will allow you to open GIF files and save them as CUR files, which you can then use as mouse cursors. All these applications come free of charge.