To make an Animated Spray, it does take a bit more work...
First: Make all the pieces you need. Don't go over five frames/pictures or the file will be too big to use in most cases.
Also, Try to keep the original copies of whatever images you are using, in case you make an error. Keep the images together and try naming them in the order they are to go in, to help reduce the chances of somehow mixing them up.
Second: Download VTFEdit You WILL need it to complete the spray. Its free, so don't worry about that.
Third: Just Import the images you plan to use into VTFEdit!!! When you preview it, it will play much faster than it actually will in-game. There is no slowing it down.
A note about Importing: When you import something in, it will give you a menu for messing with the images. My advice is to not mess with these. When I did, it would distort the sprays in-game.
But if you want to, go for it. I'm just too lazy to continually test the options and figure out what does what..........
Fourth: Save!! Be sure to save it into your spray folder. This folder is found at the address in your C razz rogram Files (x86)Steamsteamapps(YOURNAMEHERE)team fortress 2tfmaterialsvguilogos
If you are after just a normal spray: Make sure its the correct file type and size or it will say it's corrupt or something else stupid.
Curious as to what I made??
Well I animated this ==>
This was from a Video on youtube that I took screen shots of and edited the wings to give them the static look that the first guardian ended up giving Jack Noir. Jack Noir is from Homestuck.
And this ==>
This is a GIF. TF2 won't take GIF's as a spray, so I had to manually pause this and use screen shots again to break it into pieces, and just put them back together in VTFEdit.
Vriska(on left), Karkat(in middle), and Eridan(on right) all belong to Homestuck. Also, before you ask, they are troll kids. Vriska is in Godtier and is a spidertroll, explaining why one eye looks weird, its, and Eridan is cut in half(is dead in current point of story).
If you did all this and there is still fail occuring, FLAIL YOU ARMS!!! I'll try to help out!