How can I make Windows save my cursor changes?

I'm a pretty open minded guy, so with my many wallpapers and interests, I like to make a lot of themes. I often like to download other little optional features to go with these customizations as well such as calendars. cursors, and start orbs. And this is where my question actually comes into play. I've had it set up before so that my cursor(s) change with the theme but I've recently reorganized all my files again and Windows lost all the saved cursor schemes because of this.. And now I can't get it to save them again. I've had this problem and fixed it before but I don't remember how, so can I please get some advice with this?

Update: I have the cursor schemes saved, but my Themes aren't loading them. Just to clarify... =/

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