Load - Load textures that can be used for your model.  This opens a standard windows box.  Browse to the texture you want to use and click "open".

Define Animation - This opens the animation box where you load the textures you want to include in the animation (load them in order), give the animation a name (keep it simple and without spaces), and set the frame rate.  Texture animations on a model are easy to do, but it takes a bit of practice.