Double click somewhere on your layout. The "Insert New Object" window will appear. We're looking for "Sprite" under general.
Click it, and then click the "Insert" button at the bottom. The cursor will change into a plus symbol. Click anywhere in the layout and you'll insert the sprite. Now the "Edit Image" window appears.
We could go into something complicated, and more memory efficient at this point, such as scaling the sprite, etc... but all we're going to do is click on the fill tool, and fill the available area. I'm going to pick red, because... shrug
Click the red x close button at the top right, and your big square red sprite will appear on your screen.
Now, let's quickly set up a level.
Click on the sprite, and notice the widgets appear around it. This will allow you to scale things.
Use these to make the sprites surround the level you've made. Once you have one in place, right click it and pick "Copy".
Then right click somewhere on the layout and click "paste". Repeat this until you have surrounded the level.
Just before we move over, let's quickly right click the sprite object on the right hand side in the projects tab, and click clone.
This will duplicate the sprite. Now, let's drag and drop the newly created "Sprite2" into the middle of our layout.
It's a little too big, so let's quickly change that. You can use those widgets to scale the object like you did before, or you can use the properties tab on the left hand side.
I'll set it to 64,64, so we get a nice small square. Great! Let's move over to the next page! Time to actually set up the physics.