Making effects/sprites.

How do I make and animate one?
Then, how do I attach it to my model?

You attach it to a model by setting its position to the position of the model, or to a relative to the model position.

To create animated textures you drop a series of images onto VTFEdit and save the textute. Or use layers in paint.NET and expert the textute using a plugin for the program. I don’t know which way will work or will it work in other programs.