You can draw your cursors like normal animations. Then, in some event (Mouse Enter or Mouse Leave is good), choose the Change Cursor event. Then on the Change Cursor window, you can click the File button to browse for your image. The HotSpot X and HotSpot Y determine which part of the image the "hotspot" will be; the actual place where the mouse moves on the image and mouse clicks will be.
I don't know if this has been fixed in newer versions of GE, but I noticed when you load a game then load another, when you have a Change Cursor event, the game crashes.
Maybe someone can clear the air on this a bit... I don't use this method (I have the cursor be an actual actor that follows the mouse.) This also works good when you want to totally replace GE's default cursor.