When trying to change icons of a shortcut or a folder, in this open/safe dialogue window you will notice that it says under filetype iconfiles. If you click on the little arrow on the side you get a dropdown menu where you can choose exe, dll... or all files. If you click 'all files' you will see you animated gifs, but you can not choose them for an icon. You can only choose files that contain icons i.e. .ico, .icl, .dll, .exe. If you want animated icons Microangelo on Display has the options to use animated cursors (.ani) as icons but no gifs.