The animation also runs fine on IE 5 on Macintosh. It's interesting that you mention this, though, because I've sometimes received animated GIFs as e-mail attachments from friends who are on Windows machines ... and, for some reason, they don't animate either. (Usually, it just shows what should be the first frame of the animation as a standard, static GIF.) I'm wondering if there's some sort of bug/fluke in Windows that translates certain animated GIF files as standard (static) GIF files.
As for the firewall theory, I don't buy it. From a hardware perspective, GIF animations are still just graphic files on the Net, so I seriously doubt there's a way for a firewall to distinguish between animated and static versions of the format. If it was a firewall issue, I'm guessing that none of the GIF files would get through ... animated or not.