The publisher of GIF Animator provides an animation tutorial that details the basics. (If you have trouble connecting to Ulead, use this local mirror.) Begin with this tutorial.
Despite the insulting name, this book (by Cynthia L. Baron and Renee Lewinter) provides valuable points on using Adobe Photoshop to create frames. I recommend buying the book, perhaps from Amazon.com; but, for now, work your way through its Photoshop example over here.