Yep, like we said, you can't just import a gif file. You first have to find a program that can separate all the gif files into individual frames, and THEN import those frames.
For example, I have this gif image that I created:
Since I put that gif image together, I have all the individual frames saved as png files, and it's those png files that I import as my animation.
If it's your own animation, that you created, then you should already have all the individual frames you need. If you just stole someone else's gif and want to use it in your game... moral issues aside (and legal, if you plan to make money from this) you'll need to find a way to cut the gif up into individual jpg or png frames first. I have no idea what program can do that, but I'm sure there are free ones out there if you use Google.