The problem is that you are converting to a paletted image (8 Bit) from a higher quality image (probably 24 bit RGB or CMYK). A lot of smoothing, interpretation and color blending occur at these higher bit images to provide a much nicer overall image (more photo-realistic). Photo Paint looks to whichever frame you specify to optimize the pallete, and convert the entire movie to 8 bit, based on the ideal setting of that particular frame. I assume you probably are using Adaptive or Optimized color palettes when converting to an 8 bit image. Therefore, your first frame, or the optimized frame probably looks quite acceptable, but the remaining frames really suck...
There is no easy way to do this. The only thing you may have some luck with is to convert all of your images to 8 bit images with a fixed palette (i.e. Uniform, Standard VGA, Microsoft IE, etc) before you join them all together frame by frame. To do this go to Image-> Mode-> Paletted (8 bit). Just be sure when you adjust the palette that you use the same settings for all of your images. You will then have to adjust each image to achieve a uniform "ballance" to the entire movie. You will probably have to play with the type of pallete and dithering settings to achieve an optimal setting that is a good average for all of your images. You will never achieve the same razor sharp quality as just a single gif, or of a series of images you creaste from scratch.
See if this gets ou in the ball park. HTH.
Russell