Well, there are many ways to create an animated wallpaper. I feel you're talking about creating .dreams , if yes then try out these links- http://www.adobe.com/products/aftereffects/

http://usa.autodesk.com/adsk/servlet/index?id=7635018&siteID=123112

But keep in mind that these softwares have a deep learning curve to produce quality content. For dreams you can also use video footage but you have to loop it, for that you can also use windows movie maker. Check out the guidelines for making dreams here- https://forums.wincustomize.com/144934

Visit this thread first.... How to create Dreams

I created it with the newbe in mind. It is a collection of links to everything you need to get started.

After you get your feet wet, check out the link that amitsaran posted in reply 2 for the absolute best tutorials there are for Adobe After Effects.