Protip: what MFG said works for sprites and objects. You can also go to "Edit > Insert Manual" and type the sprite id, but that's a far more ruthless method than, well, right-clicking with the mouse button.
It's so simple of a thing you could have experimented with before asking here.
By looking at the message at the bottom of the LM screen, I think you already pressed right click. What you need to do is click the green shell button to switch to sprite editing mode. You can toggle between sprite editing mode and object editing mode by pressing esc.