<img src="http://i1020.photobucket.com/albums/af324/Sankaworks/Rastercopy.png" border="0" />
Okay, I've always said this on other forums and I'll say it here. If you don't have access to the CS series of Photoshop or want free software, do yourself a favor and leave leave Paint.NET alone and use GIMP. (www.gimp.org) Paint.NET just lends itself to bad habits and will be little help if you wish to graduate to more ambitious projects and/or software. Also, GIMP has tons of plugins so you really do get a lot out of it as well as a robust user forum not equaled by Paint.NET.
<img src="http://i1020.photobucket.com/albums/af324/Sankaworks/Vectrorcopy.png" border="0" />
For vector work you may be wanting to create or manipulate, in the absence of the CS series of Flash or if you're looking for free software, Inkscape (www.inkscape.org) is the way to go. The .SVG file format which is native to inkscape may lend itself to some issues, but it can save your created assets to the .PNG format; which is what you'll probably be wanting to do anyway as a bunch of vector based sprites are going to choke out the average browser game anyway. Also, it has tons of Plugins.
<img src="http://i1020.photobucket.com/albums/af324/Sankaworks/Techcopy.png" border="0" />
For Flash or Inkscape (vector) you will want to use a technique calles 'onion skinning'. For Photoshop or GIMP (raster) you will want to put each frame in its own layer in the same document. (Search these terms on Google or the forums for the software you're using to get more info.)