Well, let's see...
First of all, open PSP.
Then open "units.gif" file from your Civ2 folder. There are (if you haven't changed them before) the original civ2 Units. To add, say, one of my units, just open my file, copy the unit you want to use (using "Copy" in the "edit" menu) and paste it (using "paste as new selection") onto the unit you want to change in your original units.gif.
Of course, with PSP you can simply modify any graphic file, so you can modify (in a very similar way as when using the editor provided with FW) your units.gif, as well as my units set.
Now, to make your own unit sets...
You must put together (in a row) four, five units or as many as you like, copy them, and then use the option "paste as new image". There you are. Just give a name to the file and you'll have your unit set.
Did this make sense? I'm Spanish, and maybe I don't write clear enough...