Yep .. you should have Adobe ImageReady, which comes with Photoshop.
This is a lil tutorial that i whipped up for someone else who was asking me the same question::
1-- Firstly you open a new blank file (the size of whatever it is you're animating).
2-- Then you open up all your files that you want animated and drag them all onto the empty canvas layer after layer, making sure that they are aligned perfectly. (Drag them in the order that you want them to be in the animation).
3-- After you have about a million layers, all of which will appear in your animation, you delete the base layer (a.k.a. the white one that will serve you no purpose) so that it can't get into your final product.
4-- Now, there should be a long and wide little box labeled "Animation." If there isn't then go to the top part of ImageReady where there's "File" and "Edit" and everything. You go to "Window" and select "Animation", making sure that it's checkmarked.
5-- So on the animation box, you'll see a tiny arrow pointing right on the top right corner of the box beneath the little red "x". You click on that and click on "Make Frames From Layers."
6-- All your layers will appear in the animation box at this point and it's up to you to change the timing. At the bottom of each frame you should see something that says "0 sec". You click on that and I usually pick "Other..." and set the timing to "3 sec" for animated banners. To do this quicker, you can select all of the banners at the same time by clicking on the first frame, pressing "shift" on your keyboard and clicking on the last frame. Then you can change the time to any frame and it will be the same for each frame.
7-- To save this file you canNOT save it the normal way you'd save things. You have to go to "File">>"Save Optimized As...", and make SURE that it says "Images Only (*.gif)" in the box that says the File Type.
8-- Upload it to your host and there you go! Your animated banner
