If you want to start drawing sprites you need to have a tool/program for that. Any tool that can draw single pixels, pick colors from other pixels, can handle 256 or more colors and can read PCX (and PNG) files would be good.

I use MS Paint to draw my sprites, and I use IrfanView for converting PCX <--> BMP <--> PNG. I suggest you choose a tool with a simple user interface, you don't need any advanced tools and you don't need any advanced drawing program. IrfanView is a freeware tool, but you can't actually draw with IrfanView. Check out the links section for more details.

REVISION
Since Windows XP, MS Paint can save directly to PNG. For old operating systems like Windows 98 you still need a tool to convert.

Do not save your sprites as JPG or GIF or any other format which compresses the image. Important details and quality of the sprites will get lost, and can't be recovered. PNG, BMP and PCX are save, but PNG uses less space, and therefore is recommended.