I'm making a teddy bear pixel for this tutorial, but you can make anything. 
1. Open Paint (start- all programs- accessories- paint). Click on the Magnifier and zoom in all the way.
2. Click on the pencil and change your color to the color you want your outline to be.
3. Draw a rough outline. It's okay if it doesn't look good, just take the eraser tool and get rid of the stray pixels.
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4. Now go to Colors- Edit Colors- Define Custom Colors and make your outline color a little lighter. Click on the paint bucket and fill in your pixel.
5. Go back to the colors and make it lighter again. Now take the pencil tool and draw an outline inside your pixel for a highlight and fill it in. You can repeat this step if necessary. Also make your color darker for shadows.
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6. Add any remaining details. All done!
Personally, I think this tutorial could be much better.
The biggest issue I think should be changed is the fact that you're pillow shading. You've got the light source between the viewer and the object in your example, and it's an extremely bad example to use for beginning pixel-makers seeing as shading like this isn't seen often and, when it is, it looks good.
Maybe you should do something with the light source in a corner or above?
Just a suggestion.
PS: You have a typo. "Now to to Colors- Edit..." I think it should be "Now go to Colors - Edit...," right?
Coryl- I fixed the typo.
I think I really just did a front light source because it's a teddy bear and I wanted it to look really roundish and make it as simple as possible to follow (just make each lighter color a little smaller). The How to Scribble tutorial has a light source in the corner, but it's almost at a 3/4 angle because it's lit from the front and the side.. if that makes sense. We also have a tutorial about Pixel Shading and Coloring and since that's definitely a corner light source only, that would probably be the best one for beginners. 
Thanks for the suggestion.