When creating an animation, document pages correspond to movie frames, so your only task is to set a frame duration to all the pages.
This can be done by choosing Icon|Page properties or double-clicking the concerned page. The edit box labeled Frame duration contains the duration value for the selected frame, which has an initial value of zero milliseconds (no animation). Choose Icon|Apply frame duration to all frames to set the same duration for all frames - the duration value which is currently set for the selected page.
Please note that you may experience round-off errors when saving and reloading an animation file. Animated cursors use the jiffy as units (1/60 second), while, in GIF files, the duration must be an integral multiple of 1/100 s. Thus a duration value of 143 is loaded back as 150 (ANI) or 140 (GIF).
It is recommended to read this article about static cursors first.
When designing an animated cursor, there is an additional thing you should set. The hot spot must be chosen for each individual page. Different frames may have different hot spots, so it is not enough to set the hot spot only for the first frame.
See this article.