Make your own cursors?

I know I'm probably a noob on this forum, but how do you do it? Do you just save an image as .cur? and I already have Runescape cursors but i wanted to make a cursor myself. Thanks

 

I haven't tried this before, but I'm guessing you would first make the image in photoshop or whatever and then you could maybe use an online converter to turn it into a .cur.
I think this website can do that for you: http://iconverticons.com/
If that doesn't work, tell me and I will do whatever I can to help you.