It sounds like what you've saved is an animated .gif file. You save it just like you would any other file. Unless you open it in some type of image editing software, it should be just fine.
To put it in your signature, you will need to put it onto a web page somewhere and then put a reference to it in your signature. It is really pretty simple. If you don't have a web site to post it on, you can get one here on the DIS.
Here is a link to a thread that contains a number of other links that will cover all the topics you need to do what you are looking to do.