As I investigated, this actually happened because I had "Play animation in web pages" setting disabled in my IE 7.
After I enabled it using the following instructions it works fine.
Does anybody know though, if it could be done programmatically for users, who have it disabled?
I am interested to know how did you generated that gif image. Can you let me know its source, so I can too generate a customized gif images. And I can write text inside gif images tailored towards my requirements.