After creating your sprite particles, go to Particles > Sprite Wizard. In this little wizard, you select your series of sprite images. Make sure that your sprite images are using the naming convention of Name.# where "name" is obviously the name of the file (all with the same name) and "#" is 1-20 or however many you have in sequance. For example: smoke.1.tga smoke.2.tga smoke.3.tga etc. Welcome!!