Select the image and say "copy".
Go into paint and say "paste"
Select the eye dropper and right click that blue Grey background to get it as the second color.
Say "undo".
Select the paint bucket and fill the whole screen with black.
Select the marque tool (thing that makes rectangular selections) at the top of the tool box.
Pick the marque tool's lower option (with the blue, red, and green shapes) from the box below the tools.
Say "paste".
Photoshop is poison for things like this because it massively over complicates the situation. Once the background is black you can use the marque tool to make boxes around individual sprites and cut them out one by one.