I have seen this problem before. Windows tries to modify the cursor when it adds the [+] sign, but it does not work correctly with 32-bit smooth cursors. You can somehow reduce the effects using RWCE, but you'll probably still see a thicker and not smooth outline instead of a box. Open the cursor in RWCE and then save it. If it does not help, select the image (Ctrl+A), cut it (Ctrl+X) and paste it back (Ctrl+V) and then save. You may also need to switch to a different cursor and then back to force Windows to reload the changed cursor.
entis cursors--black box when dragging
I've adopted the Entis cursors from DeviantArt (http://zhorak.deviantart.com/art/Entis-Cursors-58265625). The one problem is that when I drag using the arrow a black box appears around the cursor (presumably the box within which the cursor was constructed). Is there any way to use RWCE to eliminate the box? Thanks!