Here're some resources for this part:
Copy 4 pictures above to the folder assets/gfx
Create new class named AnimatedSpritesExample in the package org.anddev.andengine.examples of the AndEngineDemo project, here is the code of this class:
package org.anddev.andengine.examples;import org.anddev.andengine.engine.Engine;import org.anddev.andengine.engine.camera.Camera;import org.anddev.andengine.engine.options.EngineOptions;import org.anddev.andengine.engine.options.EngineOptions.ScreenOrientation;import org.anddev.andengine.engine.options.resolutionpolicy.RatioResolutionPolicy;