How exactly do you create those criters? At first it may seem a tedious job but once you have all the frames, you're pretty much set.

First thing I did in my research was asking the experts. I've asked some of the skin authors and most of them uses a kind of workaround to this. The most detailed explanation I've received from one of the greatest WindowBlinds skinners - Mike Bryant:

That really helped me understand the process better... but I only have Photoshop Elements and it does not come with ImageReady. I also do not have any use for Gif Movie Gear except for the purpose of creating those animations and since it comes at a price higher than an Object Desktop subscription renewal you will be better off reading this article and then buying another year of Object Desktop subscripton with the cash you just saved

First thing which is always unavoidable is creation of multiple frames. I am a bit lazy so I simply extracted one of the AVI files that come with windows and dropped the extracted files into a folder. It's a standard animation representing removing a file permanently.

The only tool I need now to assemble the images back ia AVIQuick. Unfortunately this tool is no longer developed and it's website disappeared permanently. Fortunately I've been able to find a mirror which still hosts a file off its own servers rather than the original website. Go to that page and press the "DESCARGAR!" button to dowload the file. If it disappeared let me know and I'll try to upload the tool for you somewhere. I do not think there should be a problem with that since the tool is free.

Install the application and start it. At this moment everything should be pretty self explanatory, but I'll walk you through the process since I have some bits to spate in this article still.

In the first step select the top-most option and press the "Next >" button

Now we need to compound the bitmaps we have into the animation. You could theoretically press the "Add" button and browse for the bitmaps, but that would be merciless so the authors were so thoughtful and allowed the bitmaps to be dropped on the list from Explorer. So i simply grabbed my bitrmaps and dropped them there. Here's the effect:

You need to be sure all images are exactly the same size and format (e.g. all are 8-bit). Here as well concern us all the restrictions Mike hinted us with. which is the image size and transparency. Also a personal request - make sure your images are 8-bit - otherwise your skin will grow rapidly making your skin more of a challenge to download for dial-up users.

OK... so you press "Next >" again. and you're presented with how your file will look and animate after you save it.

You may check the "Transparent preview" checkbox to see how your animation will look in that dialog. "Frame Rate" means the number of frames that are flicked per second. The higher the number - the faster and shorter the animation will be. Make sure to press "Apply Changes" after every change you made to any of the controls. or otherwise you won't see the changes. Compression is what you really want to enable! It will save us all a lot of disk space. 

Once you're done with the settings and satisfied with the result. Press "Next >" again and there is the final step where you are ginev an option to save your creation.

That's it!   Here's the final effect.

Now that you know how easy it is - make sure all your skins have this feature. It really makes a skin feel more complete. Details like that are really important for the overall exerience. Also make sure to export your animations as WB subskins and upload them to Wincustomize to the Progress Anims library.