To create a sprite/sound/etc, right-click on the folder, or go to the Resources menu at the top.
There's a folder on Student Share>Koppejan with all the sprites and sounds you'll need for each type of game.
Click on the Edit Sprite button and then double-click on the sprite image. If you are creating a sprite from scratch, it will just be a green square...
When you've finished editing your sprite, you will have to click on the green check mark twice to save and get out of sprite editing mode.