There are a few ways you could go about doing it. One such way would be to make a .cur file of a white pixel (therefore hiding the mouse cursor) and write a little JavaScript code to tell an image to follow your cursor. However, depending on the image size, this may slow down your users. Another way would be to download Comet Cursor or whatever they call it now (Comet Zone?) and select from their animated cursors. The easiest and most practical way would be to create or find an .ani (animated) cursor and use it like so:
Code:
<style>
BODY { cursor: url("myCursor.ani") }
</style>
Hope this helps.