Animated GIFs - How to Seperate?

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I was using a site on the net which supplies 2d sprites - howver most seem to come as animated GIFs. e.g 'a man running to the left'. When I loaded it into paint it only displayed one frame of the image. How can I get all the frames into one image?
I don't know much (if anything) about image file formats. Please help . Thank you very much.

Rico