there are several way's check these;
for one method; these are changing your default
cursor.pcf.gz which contains your actual cursor.
Making use of the decurs program
The other is done with xsetroot, only works in managers
that dont put an own layer over the root window. Like in
Kde it won't work (according to the german article in linux-
user issue 07/2001, desktopia cursoritis)