This is mainly for those who have visual problems. Occasionally, I do come across PCs with thicker cursors than usual and it's been bugging me for some time now how and where to revert this setting. It's always better to know more.
Cursor width is categorised as an accessibility feature hence you'll need to head over to Accessibility Options in Control Panel. Under the Display tab, there's a section called Cursor Options. You'll find two sliders there. One is blink rate while the second controls cursor width.
Adjust as desired then Apply.