Here´s an example of how to do an animated icon.
This is the icon.
First i make the background, text, some blood spatter and the "window" where the images are. On top i´ve got some colouring layers in a layer set.
I resize and place the three images i want to use.
Now i make two new layers filled with black, i use a layer mask to mask out everything except the area inside the window.
On one of the layers filled with black i change the opacity to 50%, the other is set to 100%.
Now i start making the frames for the animation.
First i turn off the visibility on the layer set with the colouring layers then i make twelve empty layers below the colouring layers, i name these layers from 1-12.
To make the first frame in the animation i turn off the visibility on the layers filled with black. I select the first of the empty layers, press shift+ctrl+alt+e to make a snapshot of the canvas. I run the filter sharpen and fade it to 40% (edit/fade), then i turn off the visibility on this layer.
For the second frame i turn on the visibility on the black layer with the opacity set to 50% and repeat the whole thing with the snapshot and sharpening (but this time on the second of the empty layers). The snapshot and sharpening is done on every frame.
The third frame is the same as the second except that here is the visibility turned on on the black layer with the opacity set to 100%.
For the fourth frame i turn off the visibility on the 100% opacity black layer and turn it on on the 50% opacity black layer, i also turn off the visibility on the first of the images in the "window" (layer 9).
Well, i guess you get the idea how the rest is done, in the end you end up with twelve frames that fades in and out of black.
Now i jump to Imageready to make the actual animation (file/jump to/imageready).
In Imageready i turn off the visibility on all of the frame layers except the first one (the one named "1"), i also turn the visibility on on the layer set with the colour layers.
Now i start making the animation, to do this i press the little arrow on the animation window and choose "New Frame". Then i turn on the visibility on the layer named "2".
I repeat this until all twelve frames are done. Then i set the time delay for each frame, too do this i press the little arrow under the frames in the animation window. I set the nine frames that are faded to black to 0 and the three "clear" frames to 3 seconds.
Now it´s done. All i have to do is save it as a gif (file/save optimized as).
Here´s what the layers palette look like for this icon.
I use Photoshop 7 so some things might be slightly different in other versions.