I assume you got the cursor.rar extract the .rar , inside you see several folders that contain the files cursor.png and cursortail.png. You need to copy those and replace them for the one you're using currently.
Just incase you're not sure how to do that:
- Navigate to your \skins folder (probably --> C:\Program Files\osu!\Skins)
- Open the folder of the skin you're using.
- There should be a cursor.png and a cursortail.png file in there. Replace those with the ones you downloaded (from the Cursor.rar).