Sure, what part are you stuck on? If you’re looking at it from the very start, there are three major steps, I’d say:
1. Obtain the episodes: You mind find rips of it online, if you know where to look, possibly with 720p/1080p or mp4/mkv in your search terms, or you could try to download it directly, using various tools.
2. Clip the part you want: I actually use Xilisoft’s free trial to get the part I want, since the only limitation on the free version is length and I never need more than three minutes, but there’s Handbrake and VLC Player and a variety of free tools out there.
3. Actually creating the gif: I use Photoshop CS5, import the clip, do whatever modifying with Curves and add text if necessary, and then Save for Web.
There are a variety of gif tutorials out there, everyone has different methods for literally each of these parts, so you may want to try different approaches, or come off anon and I could help you more specifically.