It may be surprising but .ICO (Windows icon) and .CUR (Windows cursor) files are very-very similar. (This means that cursors may also have multiple pages which may also be PNG-compressed, but this scarcely occurs.) The only difference is that, considering a cursor, all pages must have a so-called hot spot which is a special pixel marking the spot where mouse events occur. For example, this is the tip of an arrow, the tip of the pointing finger of a hand cursor or just the middle of an I-beam (text cursor). This pixel can be specified using the Hot spot (H) tool.
Usually, Windows cursors have no more than one page which is 32 x 32 pixels large and may be of arbitrary color depth. The inverted color is widely used - it allows the pointer to be visible over almost all screen images.
So let's summarize the most important characteristics of Windows cursors:
See this article.