First of all, you need to have seen a tutorial on making a 3D model into an icon. So, first, make your 3D icon. But keep the final icon window open. Select the whole image, and copy it. Then, open up the RealWorld Cursor Editor. Create a new Static/Animated cursor. Then, paste the image into the editor. Finally, add the hotspot. Then you can see it in the test area, and use it! Try checking out the "3D Test 1" cursor in the library to see what it comes out to look like.
Yes, that is possible. Most of my earlier cursors were made like this.
there is a simpler way of just installing the 3D module when installing realworld cursor editor
Find out how Vista icons differ from XP icons.
See how RealWorld Icon Editor handles Vista icons.