I understand that, and I can see from your image it is a Sprite object. When you added it, did a window like the one in the image below pop up?
This is the place you create the Sprite. Whether you load an image or draw one, this is where you would do it. If you just closed this window, the sprite is a blank image and you get the result you are seeing. If this window didn't pop up when you added the sprite, double click the sprite object in the right menu under either projects, or objects (circled in the image below). That should open the above window and allow you to create your sprite.