Ok, after reading some other questions i have found out that u need to save your picture in the Sprite Manager. But how do you do this (also instead of using "Paint" I am using Microsoft because you can crop)
You draw the picture in a paint program, save the picture to disk in a format AGS understands (bmp, pcx, png, gif, tga), go to the Sprite manager pane in AGS, click the right mouse button on a white area, choose "Import new sprite..." -> "Import from file...".
See manual (F1 key): Tutorial -> Setting up the game -> Importing your own sprite graphics
Have a look at this demo I made see if it helps .
http://get.yourfile.net/vi22778.zip