Using filesystem overrides for certain specific UI files stopped working in patch 3.1. Cursor textures are among those files that can no longer be overridden in the filesystem. Unless this has changed in patch 3.2, you cannot change any of WoW's built-in cursor textures.
Edit: Normally WoW would continue working as normal and simply ignore your new cursor texture. Perhaps they have reverted this change in patch 3.2 and you are providing WoW with a texture that's not valid for cursors.
Are they some parts of the UI i'm allowed to modify, using the D:\Program Files\World of Warcraft\Interface directory ? (not modifying MPQ file :D)
Anything you can do with Lua, XML, sound, and image files in the Interface\AddOns directory is "allowed". You can override most sounds by placing identically named files in the appropriate paths under the World of Warcraft directory. You can override interface textures the same way. Models are not overridable.
I do wish that cursor modification were still legally possible, though. The default cursors aren't bad, but they are too small in many cases. I have a hard time distinguishing between the greyed-out "out of range" versions and the colored "in range" versions of things like herb picking and mining cursors. :|
I actually reported the "addon" you mention to Curse back on July 9, 2009 (over a month ago). My specific comments were:
This addon encourages users to edit the game's MPQ archives. It also provides an executable utility and instructions for users to accomplish this. This action appears to be prohibited by Blizzard's ToS and ToU.
However, no one from Curse ever took any action based on my report.
Edit: As Phanx mentioned, you are "allowed" to attempt to override any file under the "Interface" folder by placing an identically named file at an identical location in the filesystem. Whether or not these overrides actually work will depend on the type of file you are overriding, and where it is used in the UI. Since patch 3.1, I have noticed that not all UI textures can be overridden this way anymore, but it seems to be random which ones can and can't.