You should read the beginner's guide, it contains all the info you need for this particular issue (and will help solve future ones :p)
(Search for "How to make a Platform game" in the Tutorials section, can't post links yet)
(But in short, create an object, import all your image parts into it as frames, set its animation speed to 0 and change the initial frame on each object to match the part you want.
Also for the background yeah, use a different layer and maybe change the parallax to match what you want.)