Sprites are found in the Emerald Dream, where they share the world with a large contingent of other fey creatures such as pixies, and the like.
Elemental sprites are tiny creatures that live in the Elemental Plane. Elemental creatures exist in many forms. At the lowest level of the elemental hierarchy are the elemental sprites, tiny creatures that exist as a living aspect akin to their element (lightning for the air realm for example). In the hierarchy, they are just below mephits.
Manual of Monsters
The term sprite is a broad term referring to a number of preternatural legendary creatures.