do you mean Menu with Picture and the Picture animated ?
I'm sure it's possible but will lag like a drunk bitch in a dark room.
Like a menu flashing red green and stuff.... like adding a .gif
I can't believe you guys still care more about what it looks rather than what it does...
You should read the article better and unterstand the possibilities.
Your method is just wasting memory - use the method in the article and you can do all in one picture file and with one texture.
Create a D3DX Texture from file for all frames of your animation and draw your sprite with sequential textures.
There should be a better way, but it will not lag at all.
Why is DX[T] censored?