animated gifs need to be in the gif format (clue is in the title!). I don't believe SC does anything special with them, just displays them. They do need to be less than 60x60 pixels however (we've had similar problems like that in the past), if you meet both those criteria, try dragging the file directly into a browser window and see if it works (as an animation) that way you'll know if its the file or something else.
If you have potatoshop, you can use imageready to create animated gifs (well cs2 or earlier, think they integrated it in cs3, either way you can do it) but Im sure theres bound to be some decent 'free' animated gif making tools.
Thinking about it, I do believe the gimp can do it, and if you don't have a gimp there is some free software available online by the same name that may be able to help also.