The simplest way (although arguably not the best one) would be to load the entire spritesheet as one image and store it somewhere where it can live for the duration of the game. Then, each entity/character that you want to render would have a Sprite object with the texture set to that spritesheet and texture rect set to the specific part of that texture (a single frame). If you want the character to animate, simply set new coordinates for the texture rect (to the corresponding new frame), every X amount of time.
