You can make use of the 'Set Animation' action.
Firstly you'll need to create the damage animation. If you double click the sprite in the main area of C2 you'll see a list of animations pop up. You can right-click here and create an animation called Damage and then drop the relevant image(s) in. This could be one or many frames.
Then on the event sheet, wherever the logic is for taking damage, choose the action 'Set Animation' and choose the 'Damage' animation you created.
You'll also need to create some logic for when the player is NOT taking damage, to set the animation back to the original image.