Resource (.res) files can hold icons, cursors, strings, bmp images, audio/video files and other data to be  included in executable (.exe)  files.   Here's an outline of the steps I use to add custom cursors to my programs.  Procedure for other types of resources are similar. 

Building the resource file

•  Download, extract or build the cursor files desired.  
•  Build a resource "script" text file with a .rc extension.  Each line contains the resource name, the resource type and the resource file name separated by spaces. Since Delphi builds its own resource file for your project each time you compile, your resource file name should not be the project name.  The For example Peg Solitaire uses a file named Peg with lines:

  PEGNODROP CURSOR "pegnonrop.cur"
  PEGDROP CURSOR "pegdrop.cur"

   

• Define a batch file to invoke Borland's resource compiler to compile  the resource script to build a resource file.  This compiler resides in Delphi's \Bin folder.  It takes in a ".rc" file as source and produces a ".res" file as its output.     It's easiest if you save the batch file in the same directory as your project.  My Genres.bat file has this line:

  " C:\Program Files\Borland\Delphi5\Bin\BRCC32.EXE"  PegCursors.RC 

  When you double click on Genres.bat (or whatever name you choose), file PegCursors.res should be built.   (If you're a good typist, you could  just type this line into an MSDOS window or the Run box on your start menu - I'm not that good.  And it does assume that the ".rc" file is in the current directory. )  

Using the resource file

• In  the program, add a line telling the linker to include this file in the executable. e.g. {$R Cursors.res}  You can add it to the unit (say right below the {$R *.dfm} line), or in the DPR project file after the {$R *.res} line.  

• The cursor ids within your program can either  be predefined cursor ids (c, crHourglass,  crDrag, etc. - check TCursor in Delphi help for a complete list) or a new cursor id (any integer greater than 0 and less than 32768). 

• If you are defining a new cursor, it's good practice to define a name to the cursor using a constant.  e.g.

     Const

crRed=1;

crBlue=2;

•  Load the cursor any time before you try to assign it to screen.cursor, I do it in a FormCreate exit. with lines like:

    screen.cursors[crDrag]:=LoadCursor(HInstance, 'PEGDROP');

    screen.cursors[crRed]:=loadcursor(HInstance,'RED');

HInstance is a global Delphi variable containing the handle of the application.   

• Finally assign the cursor as appropriate, either by an entry in the properties field of a component or by assigning it in code.

That's it.  I've used custom cursors in Peg Solitaire and in the Game of HIP, both posted in the Program Section.   You can download  Peg Solitaire custom cursor stuff here if you're interested.   The cursor files for HIP are included in the source download for HIP.