A GIF is most likely an image file from a website you visited or part of an app. If you know the folder this is located in, it will shed some light on where it came from.
In regards to your original question, you can delete it by right clicking the file and select delete. This will stick it in the recycle bin if you need to recover it.
If you want to permanently remove it with no recovery option, Hold the shift key when selecting the delete option.