They're gif files (animated picture files). You can either get them from the internet or make your own.
Usually takes a little time to do the whole process, and there's no set way of doing it.
My prefered way is ripping the video file, resizing them (editing), extracting all the pictures and putting them together.
For this I use only freeware programs. Usually Virtua dub, windows movie maker (not all the time), Ifranview and unFreez.