I'd highlight recommend using another program to split the images into separate files, and then you can import them into construct using the import dialog but by importing multiple frames at a time.
However, If you cant do that, you can use the tile splitter function in the import dialog and import every frame into one object. Then use 'c' and 'v' to copy and paste the frames into different objects....or you could clone that object several times and delete all the unneeded frames for each one...
Theres a number of ways to do it, just use the way thats easiest for you