Can anyone tell me whether it's possible to prevent users from changing the mouse cursor on XP workstations? It would be ideal if I could do this through Group policy.

This may be possible with the standard administrative templates, although I've never enforced this policy:

Domain Policy/Your OU:
-> User Configuration:
-> Administrative Templates:
-> Control Panel:
-> Display:
-> Desktop Themes:
-> "Load a specific visual style or force Windows Classic"

This may not directly be what you're looking for, but I think the visual style is inclusive of the cursors.

This is with the Windows XP Professional SP1 ADM templates, by the way.

On the other hand, is it necessary to prohibit users changing their cursors?

HTH