Can somebody tell me how to make an avatar like this one? with the little box in the corner and the animation in it. i have photoshop cs.

try some of these tutorials
http://www.good-tutorials.com/search.php?q=movie
Once you get good at it , all you have to do is add the "movie" into the desired part of the avatar you want it in.

how do i add the movie to the desired part of my avatar?

that's the part i really don't get.

You have to read those tutorials on how to add movies to images first. Once you get it down thats when you add it to an avatar.