I think I asked a similar question about this and forgot the answer, and can't find it in the forums so here it is, possibly again.
I'm using Create Object at runtime to create some sprites from the same object and using the Load Frame from file to set their picture. This sets teh same picture (the last one loaded) to all sprites. I'm sure this has to do with the fact that they're all instances (I remember this being the reason from my prior post anyway) but I forgot what to do about it. Do I just not use sprites and use a different object?