They are animated gif files. You need two or three pictures of the same size (the maximum for an avatar on BW is 100x100 pixels) in gif format (you can convert your jpg into gif with most photo editors) then you need a gif animator software to "attach" the three separate gif files into one file (be sure it does not exceed 20000 bytes as that is the limit on BW) and then you upload it to replace your avatar.
There is a good tutorial at
http://www.ulead.com/learning/ga/ga5_07_1.htm
I don't have an animated avatar but I have used Ulead GIF Animator and it is very easy to use