In the Optimize menu, it probable says JPEG near the Format option.
Change that to GIF format
Or just go to "Save Optimized as" and save it as a GIF
JPEG's don't move
GIF's are the moving pics
For example:
[img]http://img19.photobucket.com/albums/v56/M0nsterDeLag/ralphpaste-chov.gif[/img] is a gif
[img]http://img19.photobucket.com/albums/v56/M0nsterDeLag/MonsterDeLag.jpg[/img] is a JPEG