That's a good question since I have Cursor XP too! My impression (which is probably wrong- so I'll be waiting for the experts to reply to you on this)
is that if you download and install Cursor FX , that it will probably overwrite the Cursor XP (??)-- and that Cursor XP is only good for those who have Windows XP- but no good for Vista and Windows 7. Cursor FX probably works on Windows XP as well as Vista, etc. which is why it was created. (?)
That's just my assumption- so as I said, I will be waiting for everyone else's reply.