I'm also interested how to save animation file (directly) from Mathlab.
Last time I needed animation for presentation purpuses (it had to run without Mathlab installed), I had figure which was changing over time (a small GUI project). I captured (changing) figure with one of the shareware software for capturing action on screen. (Hypercam,
I have found a way to do that, justo go to ftp://ftp.mathworks.com/pub/contrib/v5/graphics/mpgwrite/
copy the mpgwrite.m and mpgwrite.dll to a path of matlab and run it.
ceya
Luciano