If you want to save things in a GIF format, do File --> Save For Web then choose one of the GIF settings. That is the best way if you ware planning on putting it online because it will remove all extraneous information that is not necessary to allow the picture to display.
If you want to work in a GIF format while within Photoshop, you need to change the color mode (Image --> Mode) to Indexed Color. Remember GIFs can only have 256 colors.
Who was the first person to look at a cow and say, "I think I'll squeeze these dangly things here, and drink whatever comes out!"