They are animated gif files. Most people probably don't make them themselves but get them from sites that give them you for free.
Once you've got hold of a file, you can put a direct reference to its source like this http://www.webdeveloper.com/animations/bnifiles/dolph.gif , with open square bracketimgclose square bracket in front of it and open square bracket/img close square bracket after it.
Or you can load it into the MD's database using MyPhoto and then paste the reference given into your signature, post or PM. The exact way to do the latter has been described in other threads, which I am sure some one can point you at.
As to where to get them from, I am sure some-one else will let you know some good sources in a while. Never tried looking myself yet.
This image is from a free place :
and this one has been loaded into MD's (by Dave presumambly, as it was in his Xmas siggy):