The only animated display pictures you are able to get are called Moods and Muggins. They only animate with a certain emoticon. See:
Tashas Reply To Dynamic Display feature. However, you need to buy these as there is no way of getting them for free at the moment.
You can't have animated Display Pictures that you upload of your own accord, i think for reasons such as it would be annoying after a while, and would use a lot of bandwidth and the such from the MSN server. It would also have to have some sort of digital code incrypted in it.
Hope this is correct and it helps.
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