A tileset file is a file consisting of multiple images. One is the tileset itself, the other is the mask (to point out the parts you can walk on). These two files need to be 256-colour .bmp files, in other words, you can make them in MSPaint if you wanted.

When you have created a tileset and a mask (and not saved to 256-colour yet), you'll need to reduce to colours to 256 and add a pallette. There are handy programs for that on J2O, like TilesetPal and PalSuit.

When you're satisfied with the results (always make backups beforehand), put the two files in the Tiles folder in your JJ2 folder. In JCS, go to the tileset screen and click the [Set...] button. Here, press the option to add a tileset and select the right images. Then, click okay and press "Build" when having your tileset selected (or just press Build All, like I always do).

There are more elaborate tutorials on this, but this is just the nutshell story.