You have to use photoshop for that, that's how I do it anyways, usually you have to download a video to mp4 and then go to photoshop, press file>import>make video into layers, and then you can make a gif out of it, once you're done click "save to web devices" to make your gif, I usually make my own.
Watch out though, if it gets resized, the animation won't work, so you have to make sure when you make the avatar they fit the dimensions the forum allows, otherwise it'll become a still frame (pressing select file from computer also does that, so you have to host it in a website like photobucket)
