I've made both the CUSTOM and CROSSHAIR folders and have tried various combinations of crosshair and crosshair_pick, but when I go to choose my crosshair in-game, it just shows up as black; no crosshair at all. I'm doing everything right, I don't get it.

Are you sure the picture format is a .png and the size is good?

Made the background transparent =o?

http://i487.photobucket.com/albums/rr236/sonazn/crosshair-14.png
This is the one I want.

What about your crosshair_pick?

Maybe some images will help: Crosshairs + Installation Tutorial

Got it! Thanks