Well, if you want to load custom sprites, you first need to use LOAD... As in...
LOAD "SPU0:MYSPRITES"
That will replace the default sprites page #0 from (sprites from 0 to .... 67 I think) with the ones on your own set of sprites (SPU0 is the first page of sprites, SPU1 is the second, etc. Read the manual for more info on that).
After that just use SPSET as normal.

