First, you need to save multiple frames as png. The resolution must be "power of 2" so 2x2, 4x4, 8x8, 16x16, 32x32, etc. Keep the file size low because its animated.

name the images spray01.png, spray02.png, spray03.png and so on.

open VTFEdit, click "file", click "import", now select all files you safed

now some widow opens. You don't need to change anything but if you animated spray is not transparent select "DXT1" at "alpha format" to make the file smaller. remeber there is a limit for sprays.

now click ok and the texture should be compiled. At image>frame you can select different frames. If your texture is transparent but looks weird hit ctrl+M to toggle the alpha mask.

now save the image to Steam/SteamApps/common/Team Fortress 2/tf/materials and call it "spray.vtf" In the same place you will create a .txt file called "spray.txt".

open and edit it, and past in the following:

"LightmappedGeneric" { "$basetexture" "spray" "$decal" 1 "Proxies" { "AnimatedTexture"

{ 

    "animatedTextureVar" "$basetexture" 
    "animatedTextureFrameNumVar" "$frame" 
    "animatedTextureFrameRate" "4" 

}

} }

save it and rename and change the filetype so your txt file now is "spray.vmt". In game you will select this file as spray.