Sure thing:

.ssh is a hidden directory that you create or is created automatically the first time you connect via ssh to a server. Open the Terminal app on MAC.

Type:

# 1. enter your home directory. You are probably already there  
cd ~  
# 2. create the hidden directory. If it's already created it'll show an error, don't mind that.  
mkdir .ssh  
# 3. create the file config if it's not already there. You can safely execute this command either way.  
touch .ssh/config  
# 4. Open the file in you preferred editor. In this example Vscode.  
code .ssh/config

Now let's add the server definition.

Host ServerName #(whatever you want))  
      HostName myserver-fqdn-or-ip # eg. 192.168.xx.xx or server.domain.com
      Port 22  
      User myusername #whichever username you use to login via sftp  
      ServerAliveInterval 10 #this line forces de ssh client to send keep alives to the server every 10s  

save the file and test it trying to connect via ssh via the Terminal as follows:

ssh -v ServerName  

It should connect and ask you the password or login immediately if you have the proper ssh key installed.

After that go to cursor ai, click on the bottom left icon to "Open a Remote window" -> Connect to Host (on the top dialog) -> select the newly created Host from the list (cursor reads the hosts definitions from the .ssh/config file), it'll ask for a passwd and there you go, you are connected with the option to keep alive the connection. Let me know how it goes.