JPG has no transparency and loses a little detail every time it is saved again. CUR is what Windows needs for a custom mouse pointer. JPG is at home in photos you need to share, upload or print; CUR is the usual choice for mouse pointers on Windows. CUR cannot bring back detail that JPG compression already removed; it simply stores the result without further loss, in a larger file.
The defaults suit most files. Under Options you can pick which icon sizes go into the file.
The picture is fitted into squares of the sizes you pick, 32, 48 and 64 pixels by default; the hotspot, the pixel that points, is the top-left corner, where an arrow's tip sits.