I can see that you are worried about how to train the ANN, but this project hides a complexity that you might not be aware of. Object/character recognition on computer games through image processing it’s a highly challenging task (not say crazy for FPS and RPG games). I don’t doubt of your skills and I’m also not saying it can’t be done, but you can easily spend 10x more time working on recognizing stuff than implementing the ANN itself (assuming you already have experience with digital image processing techniques).
I think your idea is very interesting and also very ambitious. At this point you might want to reconsider it. I sense that this project is something you are planning for the university, so if the focus of the work is really ANN you should probably pick another game, something more simple.
I remember that someone else came looking for tips on a different but somehow similar project not too long ago. It’s worth checking it out.
On the other hand, there might be better/easier approaches for identifying objects in-game if you’re accepting suggestions. But first, let’s call this project for what you want it to be: a smart-bot.
One method for implementing bots accesses the memory of the game client to find relevant information, such as the location of the character on the screen and it’s health. Reading computer memory is trivial, but figuring out exactly where in memory to look for is not. Memory scanners like Cheat Engine can be very helpful for this.
Another method, which works under the game, involves manipulating rendering information. All objects of the game must be rendered to the screen. This means that the locations of all 3D objects will eventually be sent to the video card for processing. Be ready for some serious debugging.
In this answer I briefly described 2 methods to accomplish what you want through image processing. If you are interested in them you can find more about them on Exploiting Online Games (chapter 6), an excellent book on the subject.