Am I misremembering, but did Baldur's Gate, Warcraft 2, or something ship with a cursor package for windows?
I didn't have Internet back then, but I recall finding out that you could change the cursor to a gauntlet from one of those games, much to the chagrin of my parents.
It is possible, some games like to have some extras like wallpapers, custom icons, etc, specially back them. I would love to see more of that, the last time i've seem was with yakuza kiwami with some avatars, wallpapers and animated arts to use on steam.
On windows it's Settings > Themes, then click the "Mouse pointers" item. That should bring up the Pointers tab of the Mouse Properties window. Then it's just a matter of getting .ani or .cur versions of the pointers you want.
Yeah you could save a picture of whatever you want in the right size and format for a custom pointer. Idk what those are off the top of my head though.