Step 2: Putting your sprite in Photoshop
SNES: Open up your sprite in photoshop and it should be in your ZSNES directory called "image.bmp". If you saved multiple images, then they'll be called "image1.bmp etc.."
Genesis: Paste the picture you captured with "Print Screen" into photoshop.
Simon will be used for the rest of the examples and the same methods can also be used for Sonic or any other sprite.
Now your sprite should be opened but flattened without layers.
Press ctrl+a to select all of your sprite and ctrl+c to copy it then press ctrl+n to open a new pic. Make sure at the bottom, contents is "Transparent". Then press ok.
Now you should have an extra transparent window.
Click on your new window and press ctrl+v to paste the image. Now it should be over a transparent layer.
Hope this page didn't take too long for you to load because it's only gonna get worse :P
Continue to Step 3: Making your sprite transparent