Open up animation shop, you can draw your frames in psp but the cursor has to be saved in animation shop.
Start an new image size 32 x 32 and drw your cursor with as many frames as you like. When you click save and this comes up
select animated cursor (*.ani) on the second drop down menu.
Then you've made your cursor to use your website Click here.
or to find out how to use it on your computer click here.