Of course, the first thing you want to do is make your cursor, which you can do with any art program on the planet. Save it as a png.
Once you've uploaded the cursor image to your website, in your css file or style tag, add this:
You can make a seperate cursor that points over links and and add it like this:
If you want your cursor to be the same throughout your website, I recommend making one css file and linking it to each of your pages so you don't have to continuosly add the css to each page. Hope dis helps!