//This is the code that worked
public class Window extends JFrame {
    Cursor normal = Toolkit.getDefaultToolkit().createCustomCursor(Toolkit.getDefaultToolkit().getImage("Cursor.gif"), new Point(0, 0), "Gauntlet");
    Cursor clicked = Toolkit.getDefaultToolkit().createCustomCursor(Toolkit.getDefaultToolkit().getImage("Cursor_Clicked.gif"), new Point(0, 0), "Gauntlet_Clicked");
    class myMouseListener implements MouseListener {
        @Override
        public void mouseEntered(MouseEvent arg0) {
            setCursor(normal);
        }
        public void mouseExited(MouseEvent arg0) {
        }
        @Override
        public void mouseClicked(MouseEvent arg0) {
        }
        @Override
        public void mousePressed(MouseEvent arg0) {
            setCursor(clicked);
        }
        @Override
        public void mouseReleased(MouseEvent arg0) {
            setCursor(normal);
        }
    }
    myMouseListener mml = new myMouseListener();
    public Window() {
        super.setSize(1200, 1000);
        super.addMouseListener(mml);
        super.setDefaultCloseOperation(JFrame.EXIT_ON_CLOSE);
        super.setVisible(true);
    }
    public static void main(String[] args) {
        new Window();
    }
}

//This is the current code
public class Window extends JFrame {
    public Window() {
        super.setSize(1200, 1000);
        super.add(new Mouse());
        super.setDefaultCloseOperation(JFrame.EXIT_ON_CLOSE);
        super.setVisible(true);
    }
    public static void main(String[] args) {
        new Window();
    }
}

//This is the new class for the cursor that I'm having trouble with
public class Mouse extends JFrame {
    public Mouse() {
        super.setCursor(c);
    }
    Cursor normal = Toolkit.getDefaultToolkit().createCustomCursor(Toolkit.getDefaultToolkit().getImage("Cursor.gif"), new Point(0, 0), "Gauntlet");
    Cursor clicked = Toolkit.getDefaultToolkit().createCustomCursor(Toolkit.getDefaultToolkit().getImage("Cursor_Clicked.gif"), new Point(0, 0), "Gauntlet_Clicked");
    Cursor c;
    class myMouseListener implements MouseListener {
        @Override
        public void mouseEntered(MouseEvent arg0) {
            c = normal;
        }
        public void mouseExited(MouseEvent arg0) {
        }
        @Override
        public void mouseClicked(MouseEvent arg0) {
        }
        @Override
        public void mousePressed(MouseEvent arg0) {
            c = clicked;
        }
        @Override
        public void mouseReleased(MouseEvent arg0) {
            c = normal;
        }
    }
}