I am currently working on this bug. However, it is not easy at all to fix, so don't expect Wine to support animated cursors anytime soon. There are some pre-requisites that have to be met before it can be implemented. Unfortunately, right now, you must recompile Wine to get animated cursor support. Anyhow, just thought I would chime in, say hi, and let people know I will fix this, but as I am not as experienced as some other developers, and this is a very difficult problem, that it will take me a long time to get fixed.
