Mini Movies Within Icon

Hey everyone! I'm a newbie here but I have been making icons for a few months. My fave icons are like the one I am using, where they have a mini movie playing. My question is, how do you create this? Do you simply take screencaps and put them together or do you use part of the video itself within the icon? I'm using PSP Animation Shop 3.0 and when I try to open a video file in Animation Shop, it pretty much shuts down because it's too big.

Anyone willing to help me?