If you get them working straight from the CD, as soon as you take the CD out, the cursors will die. So, you have to just copy the files into a separate folder that won't be affected when you take the CD out.
Right click on it and select Save As.
Save it to your computer.
Open the Zip file.
Extract all the files to C:\Windows\Cursors (or equivalent)
Go to Control Panel\Mouse Properties
Click on the Pointers tab
For each pointer in the list, click on Browse, choose the pointer you want from the ones you've downloaded and click on Okay.
__________________
:
Spending as long as I do here, it's easy to forget that Oddworld has actual fans.