Basically, just open your paint, set up size to 32x32 and doodle something. Most beginners start of with simple weapons (swords etc).
I suggest working with GIMP/PS for shortcuts and better color picker - really easier and few times faster to finish something.
If you are asking about what learn or what focus on to boost your improvement, then I think AA and color choosing is crucial. Color theory! Complementary colors, saturation, contrast, values... Don't use gray, add always a bit of hue, it brings life to sprite. Your linearts and shapes will be improving easily. Be inspired by Tibia items, other artists - try to understand how they do.
You can do really detailed items and armor, but without good shading it might look crappy. Even simpler item with good shading looks better.
Once you feel comfortably with items, try something in perspective (environment, monsters).
There is a bunch of stuff - tutorials, tips, theory about pixel art/sprites around web, which I used to learn from. Some of them are here, on otland. Check sites like deviantart and pixeljoint. Feel free to ask and post your sprites on forum, we all try to help each other here.
Good Luck