I just tested the Penthouse theme and it crashes on my computer, so it seems to be corrupted. Go to the folder basj has pointed out - C:\Users\Public\Documents\Stardock\CursorFX\Themes - and delete the file PentHouse.CursorFX.
Then go here: C:\Users\YOURUSERNAME\AppData\Local\Stardock\CursorFX - and delete the file CurrentTheme.CursorFX
This solution to get CursorFX running again worked for me.