You fall and go boom and something hurts ...
Is it is sprain or did you break something? Clinically the only method to truly know is with an X-ray, but basic treatment right after an injury is the same: Ice, elevation (if possible) and immobilization until you can seek medical attention.
Broken bones or fractures are often not as dramatic looking as we may see on TV or in the movies. When we (or our kids, significant others, friends, etc.) break a bone, our arm (leg, hand, wrist, ankle, foot, toes, fingers... you get the idea) does not bend out at funky angles or have bony pieces sticking out of it. Yes, occasionally that may happen to someone, but most likely it will look normal. Except that it hurts if we try to move it or put weight on it. That pain is good for a reason, it will keep us from moving it. Our first step is to put ice on it. Ice numbs the pain and also helps reduce any swelling. Our second step is to seek medical help to determine if it is a break or sprain. That is where immobilization comes in. The trick is to immobilize the thing above and below where we are hurt. So if I think I may have broken my lower arm I need to immobilize my elbow and my wrist, so that nothing above and below my lower arm can move. The final step is to seek medical attention. This can be from your local doctor or the emergency room.
Now an important medical disclaimer: If you do break something, and it is really bent funny, excruciatingly painful, you can see bone, have excessive bleeding, been involved in a traumatic situation or a fall from a height; please call 911 or your local emergency number. That is when you need the help of your local fire department or ambulance crew.