That's strange..........  have you tried the ole un & re install bit?  Perhaps they aren't installed for the account you're using. (grasping at straws here)

It is a strange problem. I have a similar one when it doesn't autoload for guest accounts. I haven't actually troubleshooted it to find a way to fix it because I don't really use guest accounts since I don't have children messing around on my computer. I noticed one thing that might account for it though. In the registry, seen easily in Msconfig, CursorXP installs to the HKCU(Current User), instead of HKLM(Local Machine).
I don't know why it does that but, I believe that is the key to the problem. When I changed that to HKLM, it sort of messed things up because my computer complained about a missing .ini file for cursorXP for the guest users. It seems that CursorXP doesn't want to be a generic program for all users. I just gave up because it was too much hassle.

The same problem might occur if CursorXP was installed on a system with multiple administrators. As it seems that CurosrXP only installs to the Current User. You may want to compare your msconfig's on the two different computers and see if they both autoload CursorXP. I bet the HKCU message for the not working CursorXP machine isn't present. You might want to begin your troubleshooting from the msconfig, and try to see if you can track down the problem. What also might have happened is that you deleted a folder that the .ini file for CursorXP wanted to place itself into in the non-working computer. And therefore the file wasn't created. I forget the exact name of the .ini file but that file might be the key too. Good Luck. I hope this helped.