Yes they are all different layers. You save the picture indivudually and save them to a folder. Then open up ImageReady (you should have it if you have Photoshop) and click on Import folder as images. That should bring up the images you saved. From there you can change the timing etc. :beer:
Here is another example
you can do it way better if you want to take your time but you get the point
1. Open Photoshop
2. File>new>blank file
3. In the preset, Select web
4. In the size area select 640x480 or smaller!
5. After you have your blank file created. Go to File>Place
6. Navigate to your first photo and select.
7. Repeat steps 5-6 and select all of your photos in order you want them to appear.
8. once you've opened all of your photos. go to File>Save for web
9. Make sure animation and GIF are selected. Hit preview on the bottom of the page.
10. If Satisfied hit OK to save this file. Name it. Host it. Post it.