There is a bug in the Compiz package in Ubuntu 10.04 Lucid Lynx (in Maverick Meerkat too) that doesn't allow you to fully change the mouse cursor theme. You only get the new cursor theme in some windows. But you can still change the mouse cursor theme in Ubuntu, even if you have Compiz enabled.

1. Go to /usr/share/icons and locate the exact folder name for the mouse cursor theme you want to use – remember it! For the Elementary theme, the folder name would be "DMZ-Black"

2. Now you need to edit the /usr/share/icons/default/index.theme file. Press ALT + F2 and enter:

gksu gedit /usr/share/icons/default/index.theme

Comment line with "Inherits=DMZ-White" and under this line add an identical line with the exact name of the mouse cursor theme you got in step 1. The final index.theme should look like this:

[Icon Theme]
#Inherits=DMZ-White
Inherits=DMZ-Black

UPDATE: Second way

Press ALT+F2 and run gconf-editor and go to desktop > gnome > peripherals > mouse and edit cursor_theme. Here you can enter theme name you got in step 1.

3. Restart Compiz by pressing Alt + F2 and entering:

compiz --replace

or simply Log out and Log in.

Via webupd8.org