Yup, using the slice tool. There are plenty of tutorials online for how to use it. Here are a couple I found on the first page of a google search:
http://www.mediacollege.com/adobe/photoshop/tool/slice.html
http://www.adobepress.com/articles/article.asp?p=1661108
That will cut up the images to whichever size you choose. From there, you just import them into Construct as usual and align them.
EDIT: Something else worth mentioning: I'm not 100% sure, but I think it's easier on the VRAM or loading times... or something... if the image sizes are a multiple of 32 pixels. So 500 would be 512. 1000 would 1024. There's a possibility I'm crazy and making this all up in my head, but I think that's the reason textures in games are always saved in these slightly odd sizes. Something about it just makes it faster/easier to process. Might be worth tweaking the images a little first (extending the height to 1024) and then cutting them down to 512 instead of 500.
Thanks ! Yes, you are right about the size of the images.
I dont exactly know how to explain this in more detail in english, but how can i make same sized images from a big one ? For example i want Photoshop to highlight 10x (100x100 small images) from 1000 x 1000 one. I thing this could be done with grid , but i need some help with it`s configuration , because i don`t really get how it can be done.
So, what do i need to type in in grid settings , to make the grid cut my image for a multiple of 32 pixels , as you said ?