Here are the steps (I put the directions underneath since the text on the pictures are a little small):
You will also notice that my desktop background does change so I hope that doesn't confuse you.
First go to File> Open. Pick your first picture.
Then select your second picture. Again File> Open to pick your picture. Then go to Select> All. Then Edit> Copy. Click on first picture, then Edit> Paste.
Do the same with all the pictures you choose. You will see all the "Layers" on the right.
Once you're done choosing all your pictures, go to Window> Animation. The box at the bottom will pop up.
Now click on the symbol at the top right of the animation box to show you a list of options. Choose "Make Frames From Layers".
You will see all your pictures appear in the box.
Play with the timing. I chose .5 seconds.
Hit the play button to check it out.
To save your GIF: Go to File> Save For Web & Devices.
Now it's time to size your image. Find the "Image Size" tab on the right. Make it fit your blog. Click Apply. Then click Save and then save it to your desktop. You're done!
I really hope you understood that and you have fun making your own GIF! Let me know if you make one!