From the Super Mario Wiki
Sparky is a pink snow spirit of Sparkleton in the Nintendo DS version of Mario & Sonic at the Olympic Winter Games. Mario and Sonic first find Sparky under the protection of Eggman Nega. After defeating him, they free Sparky and it joins the team until the next Snow Spirit is saved, as then it will go back to Sparkleton. If the player has 4 pink crystals, it can break ice walls.
After it goes back to Sparkleton, the player will get the Sparky Emblem.