Then I guess you must have been doing something wrong, because it shouldn't be changing the animation frame :/
Press Ctrl to change colors. It stays on the current frame, even when running. Sometimes there is a tiny pause, if you happen to press Ctrl at the tail-end of the current frame's timing, but it doesn't go back to the first frame.
Anyway, Mega Man always changes color while the weapon menu is up, and there's a little "changeover blip" animation when you return to playing, so if that little pause is enough to bother you then just add the "changeover blip." It will not only cover up the pause, but it will be more authentic as well.