How do you get animated pictures on your desktop?

You cannot. Desktop is a single image which would cause problems if you made it animate.

Windows 98 allowed you to disply the desktop as a web page, which allowed animation.

Vista ultimate allows you to play an mpeg move on the desktop background.

Windows 7 and Vista allows the use of gadgets which can be made to display animated images behind active Windows.

I believe Windows 7 has the option to display background as a webpage too.