RMXP supports image files, not GIFs, unfortunately. However, it does allow you use a series of image files in succession to imitate a GIF (which, is actually how a GIF works anyway). If you are trying to animate an event, what you can do is create a sprite much like the movement sprite the RTP includes. This has 16 sprites per page (RMXP splits the image up into 16 parts, so make sure nothing gets cut off). These correspond to the 4 directions (Up, Down, Left and Right), with 4 sprites per direction.
To animate it, just create an event and give it your sprite as a graphic. Now, use Set Move Route in the event handler to make the graphic Turn Up, Turn Left, Turn Right and Turn Down. This will animate your graphic by going to the next image in the graphic set, allowing you to imitate motion, much like a GIF.
If you are trying to use a GIF in Battle, you would import your sprites or images and then use the Animation tab in the Database.
Note: If you already have a GIF that you are trying to include, you will need to use a program to break the GIF down into separate image files, then animate them through RMXP.