I'll tell you how I make mine, which is probably different from how other people do...
I first start out in Flash where I make my animation. Then I export it in GIF format. The I convert the different GIF frames into one long single strip with all the animation frames next to each other. A great utility to convert GIF is a bitmap strip is Bitstrip.
Then you can works out the background transparency, the edges so there is some antialiasing, and other kind of tweaking. Then export it as a 24 bits PNG with transparency.
Then in DX, right click on your desktop, select new object. Then in the Apprearance tab, browse to your file for the Default state, indicate the number of frames your animation has and the speed you want it to go, and check "backwards" for the style. Do the same for the mouse-over state, except select "forward" in the state. You can play around with the other settings there to test it and have fun. You won't break anything.

A good idea is to look at what others have made. SO just right click on a zoomer you like, select properties and just click everywhere to see how it's configured. You can extract the images by simply renaming the object or the theme's extention to .zip and simply unzipping. Then you'll see how the images are made.
Bear in mind that objects bitmaps can be in BMP or in PNG format. The BMP format requires a black and white mask in the image and can be a little complicated to do, I would go for the PNG format if I were you. Much easier.