It wasn't working because your image was too big - there are restrictions on the image dimensions. In Firefox, for example, the size limit is 128x128px. See this page for more details.
Additionally, you also have to add in auto
.
jsFiddle demo here - note that's an actual image, and not a default cursor.
.test {
background:gray;
width:200px;
height:200px;
cursor:url(http://www.javascriptkit.com/dhtmltutors/cursor-hand.gif), auto;
}
<div class="test">TEST</div>
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