Okay, first you have to unzip the file. Right-click on the folder and select "Extract All" and the folder will be unzipped. Move this folder to whatever location you like.
After that, go to your Control Panel.
Then, under Hardware and Sound, click Mouse.
In the Mouse menu, click Pointers and then Browse. The find the file for the cursor you want (wherever you saved them), and click on it. Then hit Apply, and then OK.