I use ImageReady myself, but there are other programs out there. Most of which must be purchased. You may be able to find some freeware with enough searching. Google is a wonderful thing.
It's mostly done on imageready. You take some gif format pictures and have a way to flow them both. I personally use GIMP and use my own GIF animator.
I just make the file in movie maker and then convert it into GIF with a video converter. Like Grinbetch said, Google is a wonderful thing.