Adding Characters to Games

Yes, I'm new to this game. Please, I need help adding characters to games (If you don't see the letter "r" in some words it's not my fault, something got caught in the key). I've seen Silver, Shadow, Blaze, Rouge, Amy, Espio, Vector, and some SMS guy. (What does SMS mean? ...) How do I upload characters to my games?

http://www.youtube.com/watch?v=x9YsXXzaQ3I

Also, SMS is some wad sombody made that is hated by many because of it being an overpowered recolor.

I found some characters. Now I just need to know what program I can use to make them.

You use XWE, Paint and/or SlumpEd to create the characters.