Both the image you want to use as a trigger for the rollover, and the animation must be in seperare slices. You can add slices to each of them by selecting them in the Layers panel and chooseing Edit > Insert Rectangular slice.
Click on the drag-and-drop Behavior button (the little target shaped icon) in the middle of the trigger slice and drag it to the animation slice. Choose the stage you want to swap (State2 in most cases). Click on the advanced button to open the Swap Image editor.
Uncheck the Preload Images box but leave the Restore Image onMouseOut box checked. Click on OK to close the Swap Image editor.
[In some browsers, a GIF animation begins to play as soon as the browser loads it. If the viewer waits before mousing over an animated rollover, he may catch the animation in the middle of the sequence. Disallowing image preloading ensures that the browser begins the animation on the first frame.]
Click on the Preview tab at the top of the canvas window and mouse over your trigger image to test the rollover.