LOL, i had this prob too but now ive got it up and running it works like a treat, it also helps ppl who are not gp users as its a very user friendly interface.
Yeah this confused me when I first got my GP32, as windups was in the Multi-Firmware but not on the SMC.
You need a :/GPMM/WIND-UPS directory where there is the config file, and a subdirectory /GPMM/WIND-UPS/IMGS) where the GIFs go.
Download the FPK file and extract that to set it up on the SMC. You can then delete the FXE. (Unless it is a newer version, then you can set it to run at startup using Pacrom instead)