It'll depend how you want to use them but the answer should be yes. .cur files can be used in Picture and image boxes but for animated (.ani) ones you'll need to split the frames apart and handle the animation yourself, unless someone else knows of a way to use .ani files. Plenty controls also have a MouseIcon Property but thats again just for .cur files.
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There is also a property that you will have to set when using MouseIcon, I think it is MouseCursor, but I cant remember. Anyways you have to set it to 99 'Custom.