Have you done the Space Invaders Tutorial: http://www.cokeandcode.com/node/6
This seem to cover the basics, but has a horrible (centered) layout: http://www.softlookup.com/tutorial/games/ch6.asp
Also take a look at this book: http://fivedots.coe.psu.ac.th/~ad/jg/
(most chapters are available online)
it is like different actions for that character on one sheet of paper.
This is called a sprite sheet and is an easy way to manage your games resources. Usually you arrange the sprites in a way that forms a grid of equally sized rectangles, so you can "cut" the desired image out at runtime. Take a look at Slicks SpriteSheet class for an idea how this could look like: http://slick.cokeandcode.com/wiki/doku.php?id=sprite_sheets