Well, there are several different ways...
If you mean literally how do you creat them, use a program like GIMP, Photoshop, PSP, or if your desperate, Paint.
If you mean how do you import them into WED, then it is simple. Open up WED, start your project, and click on Texture>Texture Manager. Then, select add folder, and browse for the folder that holds your textures. After that, just hit ok, and your textures are in WED!