This is what we are making.
I have seen many different types floating around the web.
This is my version of the sparkle.

Open a new transparent 30x30 image.
Select a color and your brush.
Brush settings:
Shape: square size=1 hardness=100 step=25 density=100 thickness=100
Ok we are starting at coordianates 15,15
with 1 pixel
Duplicate this layer and add a pixel at each corner.
Duplicate this layer and add a pixel to the corner of the last pixels.
Duplicate this layer and add a pixel to the corner of the last pixels.
We are also going to add a pixel in between.
Duplicate this layer and add a pixel to the last pixels.
Duplicate this layer and add a pixel to the last pixels we did.
Duplicate layer and add a pixel to the last pixels we did.
Duplicate this layer and we are going to start erasing now.
Eraser settings: Shape:square; size:1; hardness:100; step:1; Density:100; Thickness:100
Now we are going to earse just the center pixel.
Duplicate this layer and earse the next set of pixels.
Duplicate this layer and erase the next set of pixels.
Duplicate this layer and erase the next set of pixels.
Duplicate this layer and erase the next set of pixels.
Duplicate this layer and erase the next set of pixels.
This is what the last layer will look like.
Now make sure all layers are open and save in psp form.
Open animation shop and run. 
Want different colors.  Open in psp and go to hue and satuation - color and change the color of each layer.
Save and run in animation and save.
And you have a different color sparkle.