To associate a cursor with a specific action (e.g. to make the cursor an animated cursor instead of an hourglass when waiting for a program to load, or replacing the white arrow pointer or white hand for internet links with a different icon), do the following:
1. Extract, using Winzip or an equivalent program, the cursor files from the zip file into a folder on your hard drive. I would suggest putting it into your Windows-->Cursors folder on the drive which you have installed Windows on; if you do not want to, simply extract it to a different folder which you know you will not delete.
2. Go into you Start Menu and go into the Control Panel (for Windows 95/98, Start-->Settings-->Control Panel)
3. Double click your mouse settings in Control Panel.
4. Go to the tab marked "Pointers" and then click the "Browse" button in this window to find the icon files where you have extracted them. You can now customize each action with your favorite cursor!