By default the .Net Compact framework does not support displaying GIF based animations on a Windows Form. It is possible to code up a custom animator that will essentially do the same. Here’s a link to a sample class for displaying a GIF on the compact framework.
This does not work with all GIF files, however. A better approach would be to use a WebBroswer control to display the animated picture.
The full .NET framework, however, supports animated GIF natively.