for the sprites do you have to draw it in paint or something and after save it in your AGS folder??
Paint is okay, but you can use ANY paint program you like- Paint is obvious, but to be honest, there are far better free programs around, and we have a sticky thread in the Critic's Lounge where these can be found.
Save your images as bitmap or, even better, png. It doesn't matter where you save them- because you'll import them.
Start AGS, open the Sprites tab and then IMPORT your sprites.
You may also want to press F1 in AGS and read the Tutorial section of the build in MANUAL. ;) There's a nice little collection of chapters explaining how to get a small game up and running.