Because I'm a lazy ass, I haven't put the icons or cursors into self-installing .exe files. When you unzip the .zip file (which you'll need Winzip to do) the cursors/icons will appear in whichever folder you chose to unzip them to. You gotta do the rest yourself.
Icons: Right-click on your desktop and select Properties, then select Effects. From there you've got to highlight which icon you wish to replace, click on Change Icon and the rest is pretty simple.
Cursors: Go into your Control Panel, then click on Mouse, and then select the Pointers tab. Select the cursor you wish to change, then choose the Browse option, find the corresponding cursor and select it. Make sure you don't get the diagonal select cursors round the wrong way, that can be very confusing when you're trying to do anything in Paint Shop Pro.
(These instructions are for Windows 95/98. As far as I know Windows XP is the same but I could be wrong)