I think you need to manually choose the collision shape of the object.
Select the sprite on the object list, then right click and select "Edit animation". A edit screen will pop up and there on the left is the edit collision box. In there, if you right click on a point you can add or delete points. You can also tell the program to guess the polygon shape for you =)
I'm guessing your shape has a white background? If you're using Photoshop you can draw on an empty layer, just make sure to export as PNG. That way C2 will guess the shape right away.
Hope it helps :D