Edit: Just see the bottom of the post. 
Ah, that's right!
You can use the magic wand to select the background, dragging left and right to adjust the threshold. If you watch the threshold value in the toolbox as you're doing that, you can see what value is reasonable so you can set it and then just click the background of the rest of the frames. A threshold of 30 seems good for the first frame.
Hitting delete now will probably leave you with blueish borders around the character, so if you want to put more effort into it, do the following: right-click the picture and go to the "select" menu, then click the dotted line at the top to detach it for the sake of convenience. In that detached menu, click "save to channel" to save the selection. In the "layers, channels, [etc]" panel, click the tab at the top with the stack of white squares (the layers tab; ctrl+L also gets you there), and click the layer you were working on. Then click "grow..." in the detached selection menu, and make sure it's growing the selection by 1 pixel. Then use the paint can/bucket fill with the threshold set to 255 to fill in the resulting selection. Next, click the tab with the stack of red, green, and blue squares next to the white ones you clicked before, and click the selection mask that you recently created. Click the red square at the bottom there, or right-click the channel and select "channel to selection". One last time, go back to the layers tab and click the layer you were working on, and finally, hit delete. Next layer!
Once you're done, save the file as a gif file using "save as". Choose "save as animation" when it asks how to export. Then check the three boxes at the bottom: "loop forever", "use delay entered above for all frames", and "use disposal entered above for all frames". Then before you click "save", make sure the delay is 100ms (or whatever; 100 seems to work for this one), and the disposal option is "one frame per layer (replace)". All done!
There's probably a quicker way to do all that, but yeah.
Ah, heck, I did half the work while writing this, so I just went ahead and finished the job and did a little touch-up. Here you go:
