Rotation Animation
Unfortunately. there's no automatic option for rotating a single object. Only a very few features in Photoshop allow you to create one layer and modify it throughout the animation without affecting the other frames of the animation: moving objects, changing objects opacity and applying layer effects (also known as the Tween options).
Probably the best way to see this is to create several copies of the layer you want to rotate. Select each layer in turn, choose Edit > Transform> Rotate & use the Option bar to enter a rotation. It's often easier and more manageable to set up the layers before creating the animatior.
Open windmill.tif - After Right-Clicking>Save Link As.... Get Graphic Here
Change the name of the "blades" layer to "f1"
Right-click (Ctrl+click) on the f1 layer and scroll to "Duplicate Layer"
Name it "f2". Continue doing this until you 8 layers, labeled f1 - f8
Eye-ball out all layers except the background layer and the pivot layer (they always are on)
Select the f1 layer
Window> Animation, and make sure only your f1 layer is visible. Create your second frame (choose New Frame from the pop-up menu in the Animation palette), and make only the f2 layer visble.
Continue until each new layer has its own animation frame.
Go back to frame 1 in your animation window, this is your starting point to your animation
You want to rotation the windmill blades 360 degrees over 8 frames
360 divided by 8 is 45, so each frames is rotated 45 degrees more than the previous frame

Press the Play button in the Animation palette to preview your work.
Stop the animation
Select all frames and set the time to .1 sec
Right-click (Ctrl+click) and scroll to "Dispose"
Choose "Forever" as a repeat time
Image>Image size and shrink the entire image by 50%
Save
Although this actually is starting to look pretty good, a tad of Radial blur will really make it slick
select frame one (f1) in your animation timeline, and select f1 in your layers window.
Filter>Blur>Radial Blur
Set it at 5 pixels, Spin, Best Quality
Do this for every animation frame

Save as lnWinmill.tif (ln=Last name in lower case)
File>Save for Web
Choose GIF, Perceptual, 8 colors, transparency, Matte = white

Be sure to test the animated GIF in a couple of different browsers.
Save final GIF as lnWindmill.gif (ln = Las Name in lower case)
