Each sprite PSD contains a layer with information saying what part of the site the image belongs to, and what CSS style uses that part of the image (in case you need to change the CSS height or width). You are free to edit the sprite as much as you want, but the further you stray from the default image sizes and postition, the more changes you'll have to make to the CSS.
To download a PSD, right-click on the link and hit "Save Link As…"
