1st: The "Safely Remove Hardware" icon comes up because you plugged a USB device into your computer. Windows wants you to "Safely remove" it when you are finished downloading/uploading/etc, rather than just have you yank out the USB cord. Don't pay any attention to it, you'll probably never have a problem just pulling the USB cord out before "Safely removing" the device.
2nd: You'll need an editing program like Adobe ImageReady in order to do something like that, or maybe Macromedia Flash. However, unless you have the original file with the original "slides", you won't be able to do what you're trying to do because the GIF file format does not save the file in pieces, aka: if you open it in an editing program, you won't see all the slides, just the first one.