Water cactus when dry, NOT BONE DRY! That's a very quick way to kill a cactus. When the cactus is allowed to become bone dry, the small roots will die. Then you water the plant, it has no roots, and it rots. Make sure your cactus is receiving a lot of light and warmth.
If your plant is in a plastic pot, it's easy to tell if it's dry, just lift it up and judge it's weight. In the winter, the air in your house is quite dry. So, if the plant is actively taking up water, it will need water quite often, maybe weekly.
If the plant is not taking up water, it will take much longer to dry out. When you water, give the plant a good soaking, not just a little water. The world's deserts get infrequent soaking rains.
I read a story about a man who was growing cactus in New England, he used to read the weather reports for Phoenix, Arizona and when it rained there he watered his cactus.
You can buy this neat little Arizona Cactus Garden it come in a Glazed Pot and it make a Great Gift + it's Easy to grow!