Inside the download there are the cursor files (.cur and .ani) and an auto-installer for windows only, so for mac ignore the installer. I don't have a macbook myself so I can't experiment with adding cursors. I searched for tutorials on youtube and this one is the most popular so you could try it out: www.youtube.com/watch?v=Oyv7oxrSWZ8 . It might include converting the file types which you can do online by searching for file type converters.
Macs are not very custom-cursor friendly so it's definitely not easy! When I have the opportunity I'll try it out on a friend's macbook and see what I can do to make the files as easy to intergrate as I can.