Im not sure where people originally get them but i know if someone uses one when talking to you you can right click it and there is an option to save it. along with this is the option of what you have to type for it to come up e.g. if you type hello, when you then type hello in the messenger window this animation will appear. which is why i usually save mine by some obscure No etc so they dont start appearing when i dont want them too. all of the animations are saved along with the emoticons so you can always usethem any time even if you forget the sort cut typing you chose.
hope thats not too complicated!! just ask if ive confused you