A sprite is a little picture with information about what's solid, and what's not, that's called a mask.  Sprites can have a few different systems of how they are set up.  One is there is a picture for every frame of what the sprite is about, for a few different directions like up, down, left, and right.  Another has one picture for each direction, and enough directions to make it turn smoothly.  That is usually used for games with thrust keys and turning keys, while the other one is used for absolute controls where you go in the direction of the button you're pressing.