This is the way that I made my icons, it is not neccisarily the best. The following is a complete guide on how to make them.
1. First of all get the idea of what you want to make.
2. Then goto www.ballericons.com and under features goto how to create icons, once there scroll to the bottom and right click the ballericon template and save it.
3. Open up paint and make the size 50x50 pixels.
4. Draw your first frame then save it.
5. Draw all your other frames and save them all as different filenames i.e. icon1, icon 2, icon3, etc...
6. Open up a program where you can set a transparency i.e. Microsoft Photo Editor.
7. Copy your frame into Microsoft Photo Editor set the backround transparency then save the file as a .gif
8. Repeat step 7 for all your frames.
9. Goto www.downloads.com and and download unfreez.
10. Open up Unfreez and the folder containing all your .gif images.
11. Drag the .gif files into the large white feild.
12. Set the delay and click save. (this may take a few tries to get the timing where you want it)
13. And dont forget to Submit your icon to iconburn using email (This will be changed soon once the uploader is up and running)
*NOTE* Using this method ussualy allows for a average of 5 frames.