This isn't the right place to post this. It should be in GD&Q.
As for your question, start a new image, however many pixels wide and tall you want your gif. Then, use the pencil toll to do the arrow and the dots, or for the dots you can use the line tool on dotted mode. Then, save as a .gif. If you want it animated, then PDN isn't the tool for you.
Also, for the faded effect the dots have, use the gradient tool. I won't tell you how to do it, because you should learn something by yourself.