After creating your sprite particles, go to Particles > Sprite Wizard. In this little wizard, you select your series of sprite images. Make sure that your sprite images are using the naming convention of Name.# where "name" is obviously the name of the file (all with the same name) and "#" is 1-20 or however many you have in sequance.

For example:

smoke.1.tga
smoke.2.tga
smoke.3.tga
etc.

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