You can delete the theme's file directly using Windows Explorer. If you are really using an old CursorXP and not CursorFX they will probably be in C:\Program Files\Stardock\CursorXP\Themes (I think it was "Themes", been awhile). If not there then the newer version have them in C:\Documents and Settings\All Users\Documents\Stardock\CursorFX (or maybe CursorXP)\Themes. You are looking for files with the extensions of .CurXPTheme or .CursorFX.
Make sure you don't delete the theme you currently have loaded. Also, might be a good idea to copy the directory over somewhere first just in case you want to recover something later.