a .gif? hmm... Would you just accept the .avi that's made with Rom>Nemu Movie Start Record? Otherwise you're going to have to some how get an avi to gif compiler/converter program. I just have Imageready, that came with Photoshop.
EDIT: This is the Nemu forum, not pj64. Go to the right forum. But you can't do it with pj, you need another emulator like Nemu: http://www.nemu.com/files/nemu08.zip