JD had it right it's just that I use a different route (thru' Control Panel) to get to the mouse properties screen(s).
Off the top of my head, I'm assuming you clicked apply before exiting the mouse properties window?
To make sure you've saved your cursors theme, open regedit (Windows key and R, then type in regedit) and navigate to HKEY_CURRENT_USER\Control Panel\Cursors\Schemes and it should be listed there. If it's not, you ain't saved it, and it will restore the defaults on re-boot. In fact, export the registry entry for later use, saves all that "picking" cursors if you ever re-install.