You mean with the LoadImage API? No, this works only for BMPs.

Somewhere there must be the format specification for the GIF format (e.g. wotsit.org), there you'll also find how to load the various frames of an animated GIF. Unless you find a library you'll have to write your own loading routine.
Maybe GDI+ can load animated GIFs, but I only know about normal GIFs.

Don't forget that the GIF compression algorithm is patented and that you have to pay licensing fees if you want to encode GIFs. Loading is ok, but not compressed saving.