If you have Photoshop 7 and up installed (not sure about 5 or 6) it should also include ImageReady and the Help should step you through how to do it.
Other wise, just create each frame as different GIF files then use
UnFREEz or search
Webattack.com's freeware -> animation tools for other free programs than can do it.
Microsoft also has and old program than can do it, it's also free called "Microsoft GIF Animator" which is also good enough to get the job done and still works in XP. Do a Google search.