It is a simple process like just making an image but you need a plug-in.
Attached is the Plug-in.
How to Make a Cursor:
Learn to Make a Custom Cursor
Step 1: Open Explorer
Put the plugin given at the beginning in there.
Then Open Photoshop
Step 2: Edit Like Normal File
You probably want to start with a transparent background.
Step 4: Apply Icon
2.Then go to the customize tab.
3. Then press "Change Icon..."
4.Then find your icon and press ok through.