I actually chose "font-family:Cursive". The font you see on screen will depend on what fonts are available on your computer. Get a nice cursive font, and it should change. (Or maybe you have to assign it, I don't know. I'm still new to a lot of this.)
I'm guessing you're probably not using Windows? (Or maybe you're running Opera, I haven't tested that.) For me, Firefox defaults to MS Comic Sans (you can change it with a bit of work, but it's not part of the normal config options), Chrome uses MS Comic Sans (no option to change it), and IE 8 for some reason uses one of the sans-serif fonts (also no option to change it).
If you're using a Mac, I think the default cursive font is fairly nice, though I can't remember what it is. Unfortunately, most of us aren't...
The "cursive" and "fantasy" default font families are both pretty broken. ("fantasy" is worse; the fonts for that aren't even vaguely similar, and it's even harder to change.) You're probably best to just avoid both of them, except as a last resort.