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Don't you think you have some responsibility to guide the customer? If I were you, I'd sweep that suggestion quietly under the carpet until you can show them a better design.
To add a custom cursor, you need to use an icon editor or graphic editor to produce a .cur or a .anl file to use as your cursor. Once you have it, you add the cursor to your pages with CSS:
body {
cursor:url('mycursor.cur');
} Currently, a custom cursor will only function in Internet Explorer 6.
Having said that, and following on from some other comments, as you said that you are a "rookie", I would strongly advise you to speak to your client and try your best to talk them out of doing this. Custom cursors are basically never seen on truly professional websites - they detract from the usual user experience, confuse and/or irritate the end user, and look terribly amateurish. This will especially be the case if you use a company name as a cursor - if the text remains legible, it will forcibly be too large to be useful, and it will make the site much harder to use. Try to bring your professional opinion into play - good luck! :)