How can I improve?

[Le Sigma]

Not bad for a beginner. I think you need to work on shading, but the shapes seem to fit the characters, except the penguin looks rather blocky. Or is that how he's supposed to look? I don't recognize the yellow dude or the weird bird thing on the end, but I can definitely say you need to work on shading. Pick a light source for each one, and then try to think in 3D to see how the light would cover the sprite. But I do think you're on to something. Work on the shading and clean up the shapes, then post the new pic so we can see the changes and tell if you're going in the right direction.

Pretty much this.
You might also want to work on anti-aliasing - a process in which you put darker colours in shading on the edges of sprites so it blends and creates a smooth effect.