HOW TO CHANGE A .GIF ANIMATION TO AN .AVI MOVIE
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This is really easy; its just a matter of downloading the right program.  What you want to get is a good conversion program (i highly recommend Gif Movie Gear, the shareware version of which can be downloaded for free at www.download.com) which just takes your .gif animation file as an input and makes it into an .avi movie.  Voila!

HOW TO ADD SOUND EFFECTS TO YOUR .AVI MOVIE
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OK, this is a bit more involved.  I'm still experimenting with adding sounds to my animations, but it's working alright so far.  What I use is a program called the Platypus AVI Maker, which i got for free as shareware (yes, i use a lot of shareware).  It allows you to merge the video track of the .avi file with an audio track, using a .wav input file, and then saves the new movie as a different AVI.  Unfortunately, there isn't really a way (that i know of, at least) to insert different .wav files at different spaces in the .avi (to provide sound effects for separate events) in this program.  What i did for the Dogsnd.avi was use a .wav studio program (i used the one that came bundled with my sound card) to make one big long .wav file that was nothing but silence, which lasted for the length of the movie.  I then watched my .avi about a thousand times and wrote down the intervals between the events i wanted sound effects for.  Then, i went back into the studio and mixed in different .wav files into the big .wav, with each sound at the right spot in the movie, which is not nearly as easy as it sounds. To tell the truth, it was a bitch to do...i don't really recommend this course of action.  I'm sure there is a better way or a better program to do this kind of thing with, like Adobe Premiere (which i don't have) or something.  If you come up with a good way of inserting sound effects into an .avi, for god's sakes email it to me! 
-Mr. Slim