Create a sprite (I named this how HealthSprite) and add these 3 images in it as frames.
frame 0
<img src="http://img28.imageshack.us/img28/4691/4tnh.png" border="0" />
frame 1
<img src="http://img7.imageshack.us/img7/1379/fy60.png" border="0" />
frame 2
<img src="http://img833.imageshack.us/img833/4963/bce9.png" border="0" />
Now, create a Global Variable called HP and put 2 as a value of this variable.
Put one condition, everytick set HealthSprite Frame to HP
In the condition you can make subtracting or adding values to the variable and the player HP.