let me put it like this:
this my cursorXP theme named Red Flame >>>

...it's an normal PNG file, no animation, no life on it. To make a animated cursor you will need to make many frames(at least 15) every frame is like a second(so, 15 frames = 15 secs). Each frame, at least on this cursor theme, must be different among the others, all this is like the movies, do you remember? 24xSecond = 24 frames per second, if u want a smooth animation at least you need 30 frames. Now, to make use of many images and make them into frames you will need a tool called AniUtil, extremly usefull to make a cursor theme.
this is the same cursor but with several frames, every image is a frame(if i'm wrong let me know please):

...after using AniUtil to make several frames(images), you can use them on CursorXP, just click where it says "Configure" and you can start making use of the frames:

Now, you have two options in here, one is to use the intervals animation or to use the script., if you are not sure about using the script then dont use it, BUT, is not that hard. If you want to know how use the script, then look at this >>>>>

...as you can see, the script is setup to use 5 of 5 frames, 4 will run(play), at a speed of 80(80 what you might ask..., well, ask that to the guy who creat this software), and the last frame will run at a speed of 999999999(this amount is used to make stop the animation, if you dont use it, it will play again and again untile....)
That's all i think, great! now you can creat a cursorXP theme...