Did you edit the World.ini file? If not, that's your problem.
Put this anywhere in the .ini file, preferably at the beginning.
[Custom Object X]
Image=
Init AnimSpeed=
Init AnimTo=
Init AnimFrom=
Init AnimLoopback=
Tile Width=
Tile Height=
Image tells what the name of the image in the Custom Objects folder is so it can find it. This is mandatory.
Init AnimSpeed tells how fast it goes. 100 is somewhat slow, while 300 is blazing fast. This isn't mandatory; it has a default speed.
Init AnimTo tells which frame to stop at. Remember that the first frame is 0, the second is 1, etc. Also mandatory.
Init AnimFrom tells which to start at. No matter what it starts at, it always loops back to 0 unless Init AnimLoopback is set. Default is 0.
Init AnimLoopback tells us what frame to loop back to. Once it reaches the frame specified by AnimTo, it loops back to the one set here. Default is 0.
Tile Width is not mandatory, but it's there for pictures bigger or smaller than 24 pixels. Default is 24.
Tile Height is the same as above, but vertical instead. Default is 24.