This may not answer all your questions, but it's a good place to start... CXP Guide

Do I have to use cursor xp plus to create them?

No, you don't have to use the plus version, unless you want to create trails, and such.

I don't believe I have the correct version that is exslained in that tutorial,how do I get the right version?
And thankyou for the information that you have provided me Koasti.

The current version is 1.3. The guide was written for an earlier version, but it should work. What are you having trouble with? I'll try to help as best I can....... it's been a while since I made a CXP theme.  

I think I might have figured it out. When I want to create a new theme I select "new theme" then click on the configure button just below that. Import images and then save? I think the problem I was having is that when I opened the CursorXP's Config. window it did not look like the one that was in that tutorial. There was only one tab for cursorXP, and the tutorial had a few tabs devoted the program, I was thinking that the button I would select for creating was located on a tab selection I did not have. Some times when I read over these tutorials I miss the important parts, And usaly have to read them over and over again. Silly me. Thanks for Your help agin.

Sounds like you've got it, Vic! If you have any other questions, feel free to post them.