A similar question was asked here :
Animated cursor support in web applications?
After doing some more research, I don't think it's possible at the moment. It doesn't seem that any of the browsers support animated cursors as of 2/8/2012 using the CSS cursor property. I suppose it could be done using JavaScript to repeatedly change the value of the cursor property every few frames to make it appear animated, but that may be more trouble than it is worth.
So the answer seems to be that it isn't possible at the moment.