Python 2.7/Windows: My understanding is that we can load custom mouse cursors using the cursor=\'@file.cur\' syntax:
widget = tkinter.Label( ..., cursor=\'@h
lbl=Label(root, text="toto", cursor="@toto.cur")
works for me on Python 2.6 and Vista. Make sure that the cur file is in the working directory of your script (I have a similar traceback if I try to load a non-existing cursor) and that the file is not corrupted.
As an alternative, here is a list of internal cursors: http://www.tcl.tk/man/tcl8.4/TkCmd/cursors.htm