I guess a program to make suitable images (e.g. there are a number of cursor and icon editing tools) could be used to convert the graphic to a suitable format (assuming that PNG isn't already a suitable format) and then the usual mouse pointer preferences control panel could be used to set the cursor.
[edit] I've attached the Hexen cursor converted to the cursor format by MicroAngelo. It seems to work for me anyway. The top left pixel is the "hot spot" (ie where the pointer actually is). [/edit]