Put all the .cur and .ani files in a folder and give it a name. Drag this folder into the Windows Cursor Folder at "C:\Windows\Cursors". Then open the Mouse Properties control panel, click on the "Pointers" tab and select one of the Windows default System Schemes. Click "Save As" and give it a name. Now you will have to select each cursor in the "Customize" area and click "Browse" to locate the folder you created earlier in "C:\Windows\Cursors" and select the appropriate cursor. Repeat this for each cursor and then save the scheme.
You might have to play with the size of the cursor in the Windows settings on the Mouse Pointer page. This is in Ease of Access on Windows 10 and Accessibility on Windows 11. After you change the size, you might have to go back into the Mouse Properties control panel and reselect your custom cursor.