Choose "Start/Settings/Control Panel/Mouse" and click on the "Pointer" tab.
Select a pointer, for example "Normal Select" or "Busy". Double-click on it.
Then choose a cursor from your choice of folder. A single click will give a preview in the bottom left corner. The animation is a little bit slow, but in reality the animated cursors run alot faster.
Finally press "APPLY" and click "OK" to exit and confirm the animated cursor as your cursor.