To add new sprites to the HUD see this article , and for more details about sprites see Valve's Sprite Tutorial . Multiple frames need to share the same 256 color palette. Check below in Advanced Topics for more information on these. I'll be using crosshairs.spr for this example. Alphatest sprites can use 255 colors, but the last one in the palette is used for transparency.
Top row is normal, bottom row is autoaim.
Note the last color is the transparency color. Double-click the .spr file and when Windows asks what you want to open it with, browse to the SprView.exe and choose that. Paint Shop Pro. You can edit them but each crosshair can't be larger than 24x24 pixels and the crossbow zoom can't be larger than 104x16 pixels. If you want to add a few new colors you'll have to add them to the palette.