You need to open the Sprite Editor for that object. You'll see on the right side of your screen an Animation window, and on the bottom, a Frames window. Right-click inside the Animation window to make a new animation. The Frames window is where you add the animation steps by right-clicking. In each frame, you want to click Open in the Sprite Editor and open the next .png. On the far left of your screen, you can control animation options such as looping, how many times it should cycle, etc.