1) Download X11 mouse themes from: http://xfce-look.org/index.php?xcontentmode=36

2) Right click on downloaded .tar.gz X11 mouse theme file, and select extract here. The close the Download directory window (or whatever folder you've downloaded the file to).  

3) Reopen the folder in the file manager using the using the "Open Folder as root" option.

4) Using the root browsing window you've just opened, cut and paste the untarred (extracted) mouse theme folder into the /usr/share/icons, then close all windows.

5) If all went well, the new mouse theme should appear under Menu > Settings > Mouse > Theme

6) Select the new theme and close the dialog box. The changes should take effect immediately.