What you need is a video file. avi / mpg / wmv / ogg etc.

There's a couple freeware programs out there that will convert a series of single images to a video file. You can use that. Google.

Also, that MonkeyJam program should have some sort of "Export to" feature that should let you export to avi.

You can use VirtualDub to compress the movie (it's probably uncompressed after you first export it).