When my parents settled in the desert, she and her husband bought a couple of small cactus gardens and became really and truly religious about watering based on our weather report. If the Sonoran desert got rain, the garden got extra water. When we went months at a time with no moisture, she'd sneak a little water to her garden, but not much.
I was always amazed at how well her little potted garden did. It survived for about fifteen years.
So when do you water a cactus? You can either do it like Esther and Joe - or if it is a potted cactus, give it an ice cube about once a week. The water goes deep to the roots slowly.