Blinkie/Moving Picture Troubles

ok. HOW on earth do i do this. maybe i just cant. whenever i want to save something thats like a blinkie or changing pix or moving, it just wont work. Like if i try to save a buddy icon or something. i can save it, but only on THAT picture... it wont change.
i hope you know what im talking about!
can anyone PLEASE help?!?!?
am i saving it wrong by clicking 'save picture as'????