A0Nasser already provided a solution ... I just want to add some "helpful" steps.
Say you create a new sprite which, by default, is 250 by 250 pixels.
Now you adjust it on screen to what ever dimension fits your needs.
Before you open it to adjust the image as A0Nasser already explained it would be best to take a loot at the "new" dimensions which are visible in the Properties tab > Common > Size ###, ### (as long as the sprite is clicked).
Memorize those numbers and THEN open the sprite to adjust the dimensions to reflect the adjustments you made.
Warning! As soon as you close the sprite, things will get a little weird but all you have to do to fix this is click the Make 1:1 link (also found in the Properties tab further down).
Now you are good to go.