Not sure what you mean, but you need, for the time being, to make a sprite OUTSIDE of Construct, then load it into the sprite object using the button(looks folder-ish).
Said in pehaps a better way:
1: Make your sprite.
2:In Contruct make a ingame sprite object by double clicking(or right clicking) and choosing 'sprite'.
2.1:(If the sprite box doesnt show up, or you already had a sprite object)find and double click the sprite object.
3:In the pop-up box, press the folder(ish) button, and then choose your sprite image file.