You find many tutorials on the Internet about installing fonts that came with Windows Vista in Windows XP. There are literally hundreds of websites that explain how to change the look and feel of Windows XP so that it resembles a Windows Vista Theme but only a handful that tell you how to use and install the Windows Vista Aero cursor set in Windows XP.
The easiest way to install the Windows Vista Aero cursor set in Windows XP is to simply download a specially prepared package that comes with an installer. All that needs to be done to install the cursor package is to right-click the Install.inf file that comes with the package and choose the install option from the context menu.
The cursor package will be installed in Windows XP and can then be selected in the Control Panel as the main cursor scheme for Windows XP. The correct path is Control Panel > Mouse and a click on the Pointers tab in that window.