Working from memory here since I don't have Photoshop on this computer, but there should be a palette for animations. I set everything up in layers, you the animation palette to create the frames and other options, then do a Save for Web.
Edit: Yes, the ImageReady functionality can be used directly on its own or through the Animation palette of Photoshop.
Anyone got any ideas? I've used previous versions of photoshop, and my CS2 isn't even letting me do an animation! (ignore the crappy animation pic, I was just testing it) Help! I've been agonizing over this for a while now!