I dont seem able to get CursorXP to run at startup. I have to start, open CursorXP, change the cursors to something else, then back to my preferred cursor to get them to load.
if you type msconfig under the run command, under the startup tab, in the list is there a "cursor xp" checked off? if not that would probably be why it's not starting up automatically. maybe it wasn't checked off in the installation. if not, maybe in your cursor xp settings it's checked off as disable (which i'm assuming isn't)