I don't think you can, cuz WC3 cursors are .mdx-models that use .blp textures. And Windows uses .cur (for simple cursors) and .ani (for animated cursors).
There are programs where you can create custom cursors for windows. What you could do is to dl one of them, take a screenshot of the cursor when playing and paste it in the cursor-maker. Or you could extract the cursor texture from WC with Image Extractor II and then import to the cursor program.