Or you could just save as a Png file, using MSpaint. Doesn't hurt it at all.(that is unless you keep saving it over, and over, then you'll notice a tiny, tiny amount of color loss...nothing noticeable to the naked eye, though.)
As far as the piece is concerned, I think the design of the character could use some work before you even begin spriting it.(Not to mention my way of doing things isn't exactly the best example to follow. I would possibly try researching Stoven's fighter tutorial, and you might be able to gain a better idea of pulling it off.)
It kinda' looks sloppy at the moment, as I'm not seeing much definition on body parts, or textures. I guess I'll hold my tongue until I see more progress of the fighter, then I'll give a better critique. Looks promising though, I must say.