Having Framing/Gif problems with photoshop

Okay so i'm trying to make an animated icon gif, heres an example icon of what i would like to make.

So i downloaded the KM Player and capped fairly easily and all my caps saved to a folder...

Then i opened my CS5 and went into Scripts > Load Files into stack.

Step one

Then i selected folder instead of each individual file...

Step Two

Then i clicked on the folder containing my screencaps

Step Three

And then all the files showed up, so i clicked ok

Step Four

And now as you can see, this is what i am left with, i do not get each frame showing up and when i click the "play" button it doesn't move at all. I'm completely lost = help!

Step Five