I found the following in the WPINC.IN file.
The notes mention to "globaly enable the defines in GraphicConfiguration.inc, for GIF support also 'UseLZW'".
How do I do this?
// Activate this define to use Mike Lischkes open source graphic library
// GraphicEx to load PNG and GIF files. Don't forget to globally enabled the
// defines in GraphicConfiguration.inc, for GIF support also 'UseLZW'
// --> see unit WPObj_Image
{.$DEFINE GRAPHICEX}