The sprites for actors/gibs must be 8-bit and converted to colors defined in the Cortex Command Palette (I think it's in Base.rte). Depending on which program you're using, just try to work within indexed color, or switch to indexed colors eventually, just prior to saving.

Glows can be up to 16 bit and don't require palette colors. (Actually, saving them as 8-bit gives them poor quality, and 32-bit ones don't work/ have some weird color change bug..)

Windows 7 paint and higher cant work with indexed images properly, as well. Look into GIMP, Paint.net, photoshop, or just grabbing an older version of mspaint off the web.
As Corpsey says, the image needs to be indexed using the cortex command palette. The above software packages can handle indexed images without a hitch, either converting before save or keeping the image indexed while you work with it.