Because I open-sourced a WIN32 Snake game, I wanted to create a GIF for demonstration purposes, but figuring out how to actually make one turned out to be tricky.
After some research, here are several methods:
Method 1: Using video software like QQ Player
The prerequisite is that you have a short video clip to convert. You can use QQ Player’s built-in feature to do the conversion.
Detailed instructions:
http://kf.qq.com/faq/120322fu63YV130422iiEbMB.html
Method 2: Using professional software like Photoshop
Prepare multiple frames of images. See this Baidu tutorial for detailed instructions:
http://jingyan.baidu.com/article/7f41ececdb326e593d095c2e.html
Method 3: Using Screen Recording Expert

The image above was created using Screen Recording Expert. First, I recorded a video (in EXE or LXE format), then selected the “Conversion Tools” menu, and converted it from there.
Here is a download link for a portable version of Screen Recording Expert: