I had the same problem with getting one from a file on my computer, but discovered my problem. Don't know if it will be the same for you, but anyway. . . . (also this is the latest version of Authorware that I'm talking about, so that might make a difference, I'm not sure).
Make sure your "paste" icon is showing on the flowline (the little hand), if it's not showing click the line and it should appear. Go to Insert>Media>Animated GIF. You can search files from there, or you can put in an Internet URL. If that doesn't work I would suggest downloading the GIF to your computer first and then trying to get it from there.