Step 1: Double check the size of sprite required for your game. This will be different for each sprite you make.
Step 2: In Fireworks, make a new file the size of the sprite you need and set the canvas colour to transparent.
Step 3: Click on View then Show Grid.
Step 4: Click on View then Edit Grid. Set your grid to red (or another colour that is easy to see) and make the grid 2 x 2.
Step 5: Begin creating your character one pixel at a time.
Step 6: Until you have something like the example below.
Step 7: Save your sprite, making sure it is a .png file.
Step 8: In Game Maker, select your sprite and click Load Sprite to insert your changed design.
Step 9: If needed, repeat Step 7 and click on Edit Sprite and the Transform > Mirror/Flip to get your sprite facing the other way for your second sprite.