I find that MagickWand support CUR (Microsoft Cursor Icon).
I try to covert image from jpg, bmp, gif to .cur. just use MagickSetImageFormat($mgck_wnd, 'CUR').
It work and I can get the cur file, but it look different from original image.
I don't know well cur format. but I think there are something I have to do, anybody can tell me? I will be very thank for you.