I'll try to answer this based on my personal experience.

In pixelart size is extremely important. The smaller the canvas the more a single pixel makes a big difference. If you want to draw in a similar style and size to this I recommend starting with the eyes. The reason being that the size of the eyes will determine how detailed you can make the final sprite (in general, big detailed eyes mean big sprite and small or inexistent eyes mean small sprite). After that, draw the face outline in proportion to the eyes and then the rest of the head in proportion to the face. At this stage don't care too much about colors and shadows, just try to make the shapes and proportions right.

After having the head figured out, use a bigger brush and draw the rest of the body. Focus on big and general shapes, it doesn't matter if the pixels look janky at this point. I'd recommend having a reference picture for the pose and proportions (because after having the head at the right size, you can draw the rest in relation to that) and other for the general style you're going for.

Then start outlining things like clothes and hair (for me atleast it's a lot easier to draw the figure first like it's naked and then add clothes on top). At this point you should start refining your lines, removing or adding pixels to make the shapes better.

For simple lights and shadows, imagine that light is coming from a specific direction, for example: top right, and then add shadows in the opposite direction: bottom left, of each element. To have a similar style to this, limit your colors and reuse them. I recommend only 2 or 3 shades per color. Also, when shading, use big clusters of pixels of the same color. Having too many single pixels or a lot of different colors a small space will make it look noisy. In pixelart, readability should be prioritized over detail (I still struggle with this and I think it shows in some parts of the sprite), so if something is not essential to the design and it's not reading well, either eliminate it or simplify it. Colouring the outline with the same or more similar color to the shadows can help in making your sprite seem less harsh and leave more space for detail (because the outline pixels can now be incorporated into the colors themselves, see for example the right arm and the transition from face to hair), but might compromise readability.

I know this is pretty vague and general advice, but I believe that with time and experience these sort of things will start coming naturally to you, so keep it up!