Well first of all, this should be in the "How do I...?" forums, the place for asking questions like this. <img src="smileys/smiley2.gif" border="0" align="middle" />
Second, the easiest way to do it is to make all 3 sprites separate frames of an animation. If you set the animation speed to 0, it won't change frame unless you change it yourself. So then you can make an event that says:
Every 4 seconds
-- System: Create Sprite at x,y
-- Sprite: Set animation frame to random(0,3)
"random(0,3)" will pick a random number out of 0, 1, or 2; 3 isn't included. Another way to say it is "choose(0,1,2)", which will randomly pick one of those three numbers.