If you are downloading them from the Blingee downloader, you can just follow these steps.
1. Go to blingee that you want to save, choose the size you want to save.
2. Once it is open on the blingee page where it says to download it, right click on the image, choose save as, (make sure you save to a folder like pictures) type what you want to title it as, then make sure you choose either jpg. gif. bmp ect (.gif) for animated.
You should be able to save it as a .gif there may be an option on the window when it promps you to save as, and to the folder on the bottom of the box could be an arrow next to the type, click it and scroll down until you find either .GIF or .gif...
This should help you, if you dont have any other options then I dont know what to tell you, could have something to do with your operating system or photo program.