Some technical stuff: June 2011

To capture the entire desktop, press Command-Shift-3. The screen shot will be automatically saved as a PNG file on your desktop.
To copy the entire desktop, press Command-Control-Shift-3. The screen shot will be placed on your clipboard for you to paste into another program.
To capture a portion of the desktop, press Command-Shift-4. A cross-hair cursor will appear and you can click and drag to select the area you wish to capture. When you release the mouse button, the screen shot will be automatically saved as a PNG file on your desktop.
To capture a specific application window, press Command-Shift-4, then press the Spacebar. The cursor will change to a camera, and you can move it around the screen. As you move the cursor over an application window, the window will be highlighted. The entire window does not need to be visible for you to capture it. When you have the cursor over a window you want to capture, just click the mouse button and the screen shot will be saved as a PNG file on your desktop.
Add Control to the two shortcuts above to place the screen shot on the clipboard instead of saving it to the desktop.

Open a new document matching the dimensions of your source images.
Select all of the source images to be animated and drag them together into Photoshop. Release them over the general workspace. The first image should show up with a superimposed “X.” New to Photoshop CS5, the images will stack one at a time as layers in your current document when you hit “Enter”. Keep hitting “Enter” until all of the images are loaded as individual layers. However, you may only see one image on your screen. This is because the other images are hidden under the first image. Click on the visibility button on the layer menu to deselect all images except the one you want to view.
Rearrange the layers into the correct order, if necessary.
Open the Animation palette (Window > Animation). You should observe a storyboard-like sequence showing all the layers at the bottom of the screen. This is the animation palette.
In the Animation palette menu (found at the top right corner of the palette), click Make Frames From Layers. You can also click Reverse Frames if needed. This will take each layer in your document and set it as an individual frame in the animation.

Make sure you are in frame view, not timeline view. If you do not see thumbnail icons of your layers in the Animation palette, click the icon in the lower right corner (the hover text will say “Convert to Frame Animation”).
Now we will change the duration of each frame. Click the drop down button just underneath each frame image (circled in red in the image below). This will bring up a menu where you can set a duration.
The drop down button at the left bottom of the animation palette will change how many times the animation will loop; either a fixed number of times, or forever.
Once the frame order and timing as been set up, it is time to save the image! Click File > Save for Web & Devices, make sure the file format is set to GIF, change any other options if needed, and save the image!