yea, as snidge said, it's extra software.
I use Adobe ImageReady. (It came with my creative suite.)
How is it done?
Much like one of those "bottom corner of the page" illustrations were each page underneath is a slightly altered version of the previous page/layer. So when flipping through them fast gives the perception of action/movement.
Same with animated siggies. You have to create multiple layers and them frame them in a timely manner.
Good Luck Nailbone!
It can be a little frustrating at first but if you keep fiddling with it you'll be animating in no time.