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When I used the quick selection tool, the parts of the image selected did not leave such a large amount of empty space.  I'm not sure why there is so much white space surrounding the selection.

IamSam,

I started with the original GIF I posted in the first post and I went frame by frame, selecting that character with the quick selection tool, refining the edges, applying the layer mask to the layer corresponding to that particular frame, and finally, used trim image at the end to delete the large amount of empty space that remained from removing the other three.