When u've done your animation, you need to save it as .gif
Your problem is probably that - you saving the file as .jpg
Solving problem:
First: You have finished your animation, time to set this:
Go to the window called "Optimize" - Right Up Corner, just where it says "Info" and "Layer Comps".
Next is just to go to the textbox called "Format". You simply just choose "GIF", then in "Preset" choose "GIF 128 Dithered".
(I don't actually know the difference between Dithered and no Dither)
Now it's time to save it:
Insted of going to File > Save As, to the following:
File > Save Optimized As (Ctrl+Shift+Alt+S)