In Scratch, a costume is any change made to your sprite. It can be a different arm position or facial expression. Watch the video below for info on how to make these changes to a sprite.
Now you can go ahead and make some costumes for your sprite. You'll need at least 4 more for a total of 5. Try to think about ways you'll want your sprite to move. I like to flip direction, show arm and leg movements, and open/close my sprites mouth. That way I can show them moving and talking in a more realistic fashion.