I'm...not exactly sure what you mean by "curse" Jesus. I'm guessing, from the replies, like it's what you do when you get hurt or frustrated. Like, you get a paper cut and go, "ARGH, Jesus CHRIST that hurt!". Like that?
Well, I do "curse" Jesus a lot, but that's not because I necessarily believe he has power over me or anything. It's just I hear it so much...it's ingrained. Plus the name itself is just gratifiying to say. (I happen to have an affinity to J names...I love names like Jason, Jamie, Jackie...don't ask, 'cause I don't know where it came from.)
I've heard Muslims "curse" Allah too. I was at a Muslim friend's house and he accidentally spilled his drink on some papers he was working on and he went, "YAAA ALLAH!" which is basically "OOOOH GOOOD!" in Arabic. So, no, Muslims do mention Allah's name when they get hurt or frustrated or whatever.