MS Paint sprite separation tutorial:
1. Either copy the entire sheet into Paint, or save the sheet to your computer and then open it.
2. Look at the tool box (that's the sidebar with the fill bucket, etc.); at the top, there should be a rectangle made of fragmented lines, as well as another shape next to it.
3. Select one of the above.
4. Use your mouse to trace around the sprite you desire.
5. Cut/copy as necessary. If you want to save the sprites to their own files, select 'Copy To' from the Edit menu (if you wish to do this, I'd recommend using the PNG format).