sorry, had to demo my thesis to the grading commision :O
You select "import" and pick the image with your spritesheet. You'll get a dialog with options to split the image.
The spritesheet must contain no extra edges or frames, as Construct will assume anything in there is part of the sheet. You can set the size of the sprites in the Tileset section of the dialog. You can also set the hotspot (which will act as the center of each frame) to a corner, edge or center.
Checking Keep Image will preserve the original, have it checked until you're satisfied with the result. When you hit Cut into tiles, the spritesheet will get cut and each individual sprite will be added to the list. You can then add or remove from that list, when you accept the dialog the list will become the animation.
Every animation is either looped or not. You can have several named animations in each sprite, and you can assign angles to them, so they'll be picked automatically when the angle matches.
I hope that helps =)