To enable the animated background Personalize your Desktop Background and in the Location drop-down choose Windows DreamScene Content or any other folder that contains your animated backgrounds, see image below. The Location drop-down even contains, by default, your Videos folders so you can test one of the Sample Videos provided with Windows Vista.
A warning to all laptop users, and users with an older CPU; the CPU usage will be a lot more heavier when DreamScene is enabled. Look at the CPU Usage History below; first DreamScene is enabled and then a normal desktop background image is used. So I recommend not using DreamScene if your laptop tends to be hot or you have to use the cycles for other stuff.
But it looks cool!