You would actually need to use ImageReady or a different animation application to do that. I would recommend ImageReady since it comes with Photoshop (ver. 5.0+).
Then, all you would need to do is create the frames of your animation... you'll probably only need 2 to 4 for something as simple as flashing lights (you can use more or less if you choose). Create one frame with the lights off, one with the lights on, one more with lights off, and one more with the lights on. Set the timing for each frame for about a second and then loop it "Forever".
That's it... pretty simple actually.