Dear Brashmonkey, not that this should be the way, but assuming your method work, This will have to do.
Now...How DO you URL Load images into a separate frame or animation as you have said ?
I think he means adding more empty frames to your sprite object, then before you set "load image from URL" you first set the frame you want. You should also make the animation speed 0 beforehand.
So it would look like this
From 1 to 10
-Set sprite animation frame to loopindex
-load image from url