What about testing it? Create a simple application with and without spriting, and monitor your windows memory to see which approach is better.
I'm telling you to test it because of this interesting post from Vladimir, even endorsed by Mozilla "use sprites wisely" entry:
(...) where this image is used as a sprite. Note that this is a 1299x15,000 PNG.
It compresses quite well — the actual download size is around 26K - but browsers
don't render compressed image data. When this image is downloaded and
decompressed, it will use almost 75MB in memory (1299 * 15000 * 4).
(At the end of Vladimir's post there are some other great references to check)
Since I don't know how Windows renders it's gadgets (and if it's not going to handle compressed image data), it's dificult IMHO to say exactly which approach is better without testing.
EDIT: The official Windows Desktop blog (not updated since 2007) says the HTML runtime used for Windows Gadgets is MSHTML, so I think a test is really needed to know how your application would handle the CSS sprites.
However, if you read some of the official Windows Desktop Gadgets and Windows sidebar documentation, there's an interesting thing about your decision to not use css sprites, in the The GIMAGE Protocol section:
This protocol is useful for adding
images to the gadget DOM more
efficiently than the standard HTML
tag. This efficiency results
from improved thumbnail handling and
image caching (it will attempt to use
thumbnails from the Windows cache if
the requested size is smaller than 256
pixels by 256 pixels) when compared
with requesting an image using the
file:// or http:// protocols. An added
benefit of the gimage protocol is that
any file other than a standard image
file can be specified as a source, and
the icon associated with that file's
type is displayed.
I would try to use this protocol instead of CSS sprites and do some testing too.
If none of this information would help you, I would try to ask at Windows Desktop Gadgets official forums.
Good luck!