I can only give you some food for thought.
First thing I should mention: SMBX uses mostly PNG nowadays which supports transparency. GIF is also possible (yearh... but why bother about that one).
So you do not have to worry about very special file formats or anything like that. These are simply PNG pictures.
Next: Take a look at block-459 (...\data\graphics\block), for example.
The blocks themselves (without animations) have mostly 32x32 pixels, but the number of pixels is always doubled, after you are finished and want to export or save it for usage within SMBX.
So you always work with half the pixels. The animated lava (block-459), as just mentioned, has 32x128 pixels. You can also see from this that it has 4 frames.
About the volcano background. For this to archive, you have to work with
Parallaxing Backgrounds.
I hope you know how to work with a graphics programm, because I can not teach you. It would take too long (not meaning you in person, I would tell this to everybody). If you are looking for a good software without having to fear the downloading itself: I use gimp. It is not perfect, but I am not a professional in any way. It does the job.
You have to crumble the components apart first if you want to see it that way.
Look around within the folders of SBMX and check the
SMBX2 Documentation for starters. You will gain some good understanding from it already, I am sure about that one.
So, if you have gained some basic understanding and you are stuck with specific questions, just ask again then.
I don't know of any user map off the top of my head where parallaxing backgrounds are used well and effectively. If anyone has a good example, please post it.