They're not movies. It's a special image type called a "gif". You can make them with special programs or websites that string a series of frames together to make a moving image. GIMP is a program that does this, and websites like
this one can do it too. The final product must be 75x75 pixels or under or the forum resizes it to be that size, changing it to a jpg in the process which does not support animation (or transparency).