You're Link sprite is good, I like it. I liked your choice in sprites. It was pretty funny when he got munched at the end. Also, you used speech bubbles, which is good. They were well done, although the text inside wasn't very good. Try using a less newspaper boredom blandness font. And all caps is much better. Also, make the text round, so the middle line is the longest and the top and bottom lines are the shortest. You can use the select tool to center it, it's not too hard. You can do it. Also, you should download Paint Shop Pro from this site. It's way easier and better than Paint, and you can save the comic as a PNG file instead of a JPG. JPg's look like poo and are all blurry. They're also bigger than PNG's.
First, it's a good thing you used that Link sprite instead of Semi's. I may use Semi's, but that's beause I used it before it was overused. Nowadays, it's good to see others try something different, but count on my to stick with traditions.
Second, it's JPEG. Try to make it PNG, it makes the quality much better.
Third, Photobucket. I used to use it myself, but a mess in the system has created something known as the Photobucket Blur. Simply choose another Host to use and it will vanish. Might I suggest Imageshack?
Textbubbles, good. Looks like you have those down.
Backgrounds are basic, but at least they aren't burn-eye-y, I accept!
Lastly, open their mouths when they talk. Simply fill it in with red or something, or paste on a pre-made mouth.
For cool effects, you could get Paint Shop Pro, Photofiltre, or, heck, if you have the money, Photoshop. But, Paint cna make good effects, too. Never underestimate Paint! Hold Shift and move a Sprite. You'll be surprised...
"That's the real trouble with the world, too many people grow up." - Walt Disney
Actually, JPGs are much smaller. Thats why they turn out so distorted from paint, because they are so compressed.
You're getting a lot of things right for your first time. I can't really say anything to help you that hasn't been already mentioned; all I can say is to take all of the advice you can get and improve your comic. Its really worth it.