If you have an animated texure you want to call 'bob', save each frame as bob_A00.bmp, bob_A01.bmp, etc... , and then convert them all to pcx using Bright. Open up UEd, open the textures browser, and do File->Import. Select all of the pcx files, and click Open. Fill in the package name in the popup window (whatever you want the utx file to be called), fill in the group name, and click 'OK to all' (or something). If you have named them correctly, UEd will automatically string them together as an animated tex. Just assign the first texture in the group to the surface.