If by "cursor speed", you mean the repeat rate when holding down a key - then have a look here:
http://hints.macworld.com/article.php?story=20090823193018149
To summarize, open up a Terminal window and type the following command:
defaults write NSGlobalDomain KeyRepeat -int 0
More detail from the article:
Everybody knows that you can get a pretty fast keyboard repeat rate by changing a slider on the Keyboard tab of the Keyboard & Mouse System Preferences panel. But you can make it even faster! In Terminal, run this command:
defaults write NSGlobalDomain KeyRepeat -int 0
Then log out and log in again. The fastest setting obtainable via System Preferences is 2 (lower numbers are faster), so you may also want to try a value of 1 if 0 seems too fast. You can always visit the Keyboard & Mouse System Preferences panel to undo your changes.
You may find that a few applications don't handle extremely fast keyboard input very well, but most will do just fine with it.
