How to set a cursor image via jQuery?

Try this way:

$(this).css( 'cursor', 'url(cursor.png), auto' );

Here is JSFiddle: http://jsfiddle.net/fv3Bk/1/
The auto parameter tells what cursor type to use if cursor' image is not found. (See here more cursor types, here the example with another one )

If you want the cursor to be a cursor of your choice you can use the css cursor property like above, but with the url value:

$(this).css('cursor', 'url(/path/to/image),auto');

or to all inside the body:

$('body').css('cursor', 'url(/path/to/image),auto');

As far as I know this won't work in Opera.