yup its a gif in disguise. You can however animate a jpeg sequence on a webpage, but you have to use a java script applet to do it. I have been seeing lots of fancy pop ups that have been doing this lately. This is a page on how to animate jpegs using java.
http://www.wpdfd.com/wpdanim.htmview the source and you can lift the code for doing this yourself on your webpage.
I think I might do it myself and add a few jpeg movies to my site
Cheers
jobefx