How to define BPP

Cursor files support 32bpp max. You select color depth when creating a cursor and you can change it later using "Cursor"->"Change color depth" command in the main menu. It is not recommended to put multiple color depth images into a single cursor, but you can do it in the Images panel in the right pane (you may need to scroll down to see it). This applies to version 2012.1, version 2013.1 will have a different panel layout and the name of the panel will be "Formats".

Sorry to bother, but I stil can't find the "Cursor" menuitem.
I do have 2012.1

And are you editing a cursor or a normal animation (like a gif file)? If it is the later, you will not have the Cursor menu, but you can use the Create menu to create a cursor.