Mini movie question

I've recently learned how to do mini movie icons, but only if I have a .gif animation all ready for me. I have several icons that I'd like to make, but I can't figure out how to make the clips. I have the dvd, or in a couple of cases the .avi file, but how do I save a certain part of it as a gif animation? Do I just have to save every single frame of it, one by one? Er, sorry for the rambling question, if anyone can help I'd greatly appreciate it ^_^