You won't go to jail for downloading a free cursor. There are plenty of sites around that offer free cursors, wallpapers, themes and other stuff. Just be careful because much of that free stuff is bundled up with spyware, some of it pretty nasty such as home page hijackers ect. I learned the hard way with a screensaver I downloaded once. It took me days to clean all the crap out of my computer.
The music thing is because it is copyrighted by those bands/companies that own the rights to the songs, and people who offer it for download on the internet without permission of the copyright holders are breaking the law. That is what some music site owners are charged with and sent to jail for.
My own cursor is a sword. It is part of a medevil theme I use, though I changed all of it except the cursor, and a few other things.