I use Photoshop CS2, but I'm pretty sure you can create the same effect in similar programs. What you basically do is duplicate a given frame and then apply a motion blur to the duplicate. Then, you duplicate the frame that follows the first frame and apply the same motion blur to the duplicate.

Then you want to order the frames in the following way:

First Frame>>Blurred Duplicate of First Frame>>Blurred Duplicate of Second Frame>>Second Frame

To create the effect, you have to time the blurred layers to have no delay (i.e. they should be there for the shortest amount of time).

To have the loop effect such as in my current icon, you will have to put:

First Frame>>Blurred Duplicate of First Frame>>Blurred Duplicate of Second Frame>>Second Frame>>Blurred Duplicate of Second Frame>>Blurred Duplicate of First Frame

And then loop it. :D

Hope this helps!