Hello, how can I load a bunch of sprites into a array in a separate file (should it be .h or .cpp), so that I can later display them (and set as a variable) in a different file by using the index???
It seems you know very little about C++, it's not a bad thing, but it's not a good prerequisite for using SFML and programming a game in C++.
What you should do is get a book or some freely available resource and start learning, what header and source files are and what they are used for, how arrays do work and why one should mostly prefer a
std::vector over pure array, etc.
Those are some very basic topics and are essential for programming with C++.
Edit: could I make the sprites before making an array and then load either a pointer to those or those directly to an array???
Don't use raw pointers and for your case they are quite useless, the way masskiller described is way better.