There's no way to use a .GIF file in a game.
You can use a .TGA file with the frames put in a row and a "+[number of frames].tga"

http://www.conitec.net/beta/aentity-frame.htm

http://www.puppenheim.org/
http://www.wuerfels-welt.de
Old Game Tutorial: http://www.puppenheim.org/MITutorial.zip
Free Game Editor: http://puppenheim.org/AlienalsWeihnachtsmann.zip
http://www.puppenheim.org/blender_starting_main_settings.txt