I am guessing you're doing a WinForms project here...
You can create an animated .GIF and display it within a WebBrowser control in your application.
...OR...
Store the images in an array and then use a Timer object and an integer variable to index the array
...DON'T...
Do not use a PictureBox control with an animated .gif. Some .gifs can crash your app with a GDI+ error when displayed within a PictureBox. I'm not sure, but my impression is that local-palette .gifs do this.