Bravo, you gave me a very good hint: disabling Windows Defender! Well, on my version (1809) of Windows 10, it's called "Windows Security". I didn't want to disable the whole thing, so I was somewhat hesitant, but then I checked my notifications, there was one saying that Windows Security had blocked Cursorfx because it could bring changes to my folders, etc, and it even gave me the path to follow. I had to disable only "controlled folder access".
Windows Security>Virus & Threat Protection>Virus & Threat Protection Settings>Controlled Folder Access>Manage Controlled Folder Access>OFF
I then used the download I had had previously, redownloaded Cursorfx Plus (I had paid for the "plus", had received a licence number, but I was never offered a grid where to write that licence number, not even the second time), anyway the installation went like a charm, no more errors, and I now have cursorfx functioning perfectly as before.
I don't care too much if it's not "plus", I think the difference is minimal.
So, you + the notification solved my problem !
Thanks for your help ! Ithink that this Windows Security combined with a daily scan by Malwarebytes Pro is just as good as any anti-virus or "security suite" !