The suppot for this format allows you to create a bitmap from a cursor, or create a cursor from a bitmap. 
Blaze ImgConvert supports cursors as follows:
CUR is a file format for storing Windows cursors (mouse pointers). Blaze ImgConvert does not load or save transparency information in these files. The size when you write these images should be exactly 32-by-32 pixels.
You can read and write 1, 4, 8, and 24-bit, single-page or multi-page files.