Converting an animated GIF to a SWF file is as easy as clicking on Save As and saving the file.

Open your GIF in Fireworks CS4 and take a look at the states in the States panel. You will see that there is one state for every bitmap image that composes the GIF. There should be some player controls at the bottom of your Fireworks window that will allow you to play the animation right in Fireworks.

To convert this to a SWF simple choose File|Save As and select the SWF as the type of file to save. Name your file and save it. That's it. Try playing your SWF in a Flash player to see how the animation looks.

You can also change the frame rate using the options button on the Save As menu. Doing that will change how fast the animation appears to play, so you might need to go back into Fireworks and duplicate the states to make the animation appear to be slower.

Here's a little screencast that demonstrates the basic process.