Ok. Double check that everything is cool by looking in C:\Program Files\Infogrames Interactive\Civilization III\Art\units\Cossack\FLICster (adjust if you used non-standard civ3 install location). Open CossackRun.pcx in this directory. Do you see your little x ? if not, put it in now, and save. For this demo, the x should appear in the top-left corner region of the top-left fram in the file.
At this point, you PCX should have the X and is ready to go. Run flicster, choose File | Open, browse into the Cossack folder, then into the FLICster subfolder. Open CossackRun_StoryBoard.FXM. Now, go to the View Animation tab, and you should see the little X appear briefly at the start of each loop thru the SW animation. If you have a slower pc, try increasing the frame delay using the slider, to ensure you see all frames.
If this still doesn't work, email your PCX and FXM files to me at the email adress at the top of the readme, and I'll check it out.
Good Luck!