Title may sound weird but just roll with it
Step 1
Go to this website http://www.online-convert.com/
Step 2
Click here
Step 3
Select either MP4 or AVI (my preferred choices)
Step 4
Now it says you can't convert gifs or pictures to video, but you really can. Import the file you want to convert

Step 5
IMPORTANT
Set the frame rate to what you had it in pivot, because GIF's move faster than they do in pivot. If you animated it at 24 fps, set it to 24 because it will move faster if you don't set it.

Step 6
Now that you have all this done, you can now convert it! The button to convert it is at the bottom of the Optional Settings
Step 7
After you have the new video, go into Windows Movie Maker or some other editing software where you can add sound, and there you have it! You have added sound to your GIF... kinda?

if you have another method then good for you, made this for the people who dont know how.

I was going to say something like "You can't add sounds to gif". .gif files doesn't work as same as any video files. They can't make sounds, because they are image files.

I'm thinking about using Blender as video editor. And instead of gif file, it's png files. If you import all the png files into Blender (select all of them, instead of one by one, and then import), those png files will turn into an animation. I'm... too lazy to make tutorial.

or you can use flash. Flash automatically converts each frame of a gif into bitmaps and lines them up in order.

How effective would this be when compared to FormatFactory in this sitch? I usually use that for conversion, and it's pretty spot on. But some bigger files lose their clarity after being converted.