This answer's for Double plus anyone else that's interested that has IE5.5/IE6.

To save the current .gif animation to disk you need to do the following:
1) make sure you can see the folder 'content.IE5' in your IE cache folder 'Temporary Internet Files'
2) navigate into the 'content.IE5' folder then into one of the four sub-folders and you will find the .gif loop there
3) copy it to another permanent location on your disk somewhere

If you do not have access to your 'content.IE5' folder, which most people don't, then you need to remove the protection on it. The file that maintains the protection is called desktop.ini in the 'Temporary Internet Files' folder. Delete the desktop.ini file and that should now allow you to access the 'content.IE5' folder.

Hope you followed that.