Step 2: Open the file and copy the files, then paste them outside of the folder. Alternatively, you can right click the file and select "Extract all...".
Step 3 (recommended): It is recommended that you copy the cursor files to "C:/Windows/Cursors". In my experience, when loading the cursors from a different location, Windows will not automatically load the cursors on log in, meaning you need to re-apply your cursor change every time you login. This does not mean you need to re-select every cursor, it just means you have to apply the settings for Windows to recognize the cursors.
Step 4: Double click an item in the menu to open File Explorer. I have named the files with a tag in the front to make them esier to find and group together (depending on your sort by setting). This means you can paste "CCS2" in the bar at the bottom and a list of matching items will show. They are also named appropriately meaning "Normal Select" should be "CCS2 - Normal select.cur" and so on...
Step 5 (recommended): It is recommended that you then click the button labeled "Save as..." and save the selection of cursors so that if you ever change your cursors and want to go back, you can easily do so.