well once you get everything to happen the way you want it and saved into a replay, download a little freeware program called
Animget. What this little guy will do is take tons of screen shots practically every 10 milliseconds of your active window. But what's really cool about it is it only saves the screenshot if it's changed from the last one.
Then once you have all the screens you can dump them into a GIF file using something like Photoshop Elements (what I use), Flash, Fireworks, of course all these cost money, but I know there's got to be something on the internet that does it for free.
I will warn you though, it's VERY time consuming. Hope I was a help
EDIT: Woah... didn't see this was THAT old. My appologies for bumping this.