All cursor files have .ani extension. Perhaps your Windows is not running with 32 bit disk and memory access on. In Windows 95 and 98, open the Performance tab in Control Panel's System applet. Here you can see the system performance information. See Windows' online help to find out how to make your system run properly.
Some authors make animated cursors with a single frame in each.
In such case cursor file has an .ani extension but, in fact, is a static cursor. You can use these cursors only like static ones, or don't use them at all. Your video card may not work properly with animated cursors. The common solution in this case is to update obsolete video card drivers to the latest ones. This setting doesn't allow to use animated cursors.