*snigger*
Um. Just so you know.. wallpapers in windows can be webpages. And these webpages can contain animated .gif files, jpeg files, even flash and shockwave files. Sure it will degrade the performance of your computer by two or three percent, but hey, livin' la vida loco, right?
I suggest you read up on how to make flash files, or find someone that can make some neat flash files for you. I'm not that someone because I have very little experience with flash files. By that I mean I know how to implement them and break them open to get things out, but I have no experience in building them properly.