I wanted to make an animated icon in CS3, but it was all wrong, like yours. I never used ImageReady, only CS2, and the animation thingy has always worked.
Maybe this is stupid, but when you click on Save for Web you should hit the play button a few times (my Photoshop behaves kinda strangely, sometimes it plays an icon too fast, and sometimes it plays it slowly, but when it saves the icon, it works well).
I don't think that helped, btw :lol: