CUR > BMP

procedure TForm1.Button1Click(Sender: TObject);
var
  hCursor: LongInt;
  Bitmap: TBitmap;
begin
  Bitmap := TBitmap.Create;
  Bitmap.Width := 32;
  Bitmap.Height := 32;
  hCursor := LoadCursorFromFile('test.cur');
  DrawIcon(Bitmap.Canvas.Handle, 0, 0, hCursor);
  Bitmap.SaveToFile('test.bmp');
  Bitmap.Free;
end;

Взято с Delphi Knowledge Base: https://www.baltsoft.com/