custom cursors

Question

I have a problem creating a custom cursor in windows forms.
I simply do:
Cursor c = new Cursor(@"c:\xyz.cur");
every cursor file i have tried, except the ones in the c:\windows\cursors directory give me an ArgumentException, stating that the file is not in the correct format. I have even tried using several cursor editors to make .cur files.
How do I get a cursor in the correct format for visual c# express?