First off all, are you using the latest version of Warcraft 3?
I think the structure of game data has been changed since latest patch of Warcraft 3.
Also, there is something wrong when you installed the custom cursor.
The in-game cursor location should be like this: "UI/Cursor" (MPQ) or "war3.w3mod/ui/cursor" (CASC).
In this folder, there should be both MDX and BLP files. You must place both files there. Alternatively, use
Local files to enable the mod.