well yes you can do it in flash, thats the way your supposed to do it, its not to hard really
if you dont have flash, put it in a table, create a .cur or .ani cursor file and then put the table style to have that cursor
full code-
CODE
<!-- begin code provided by createblog.com -->
<table style="background-image:url(urltoimage.gif); cursor:url(urltocursor.ani);"></table>
<!-- end code provided by createblog.com -->
err id prefer flash over that though... because you can add effects when shot.. etc.