Versions of Adobe Photoshop from CS5 onward allow you to import video frames as layers. This is a huge timesaver because you don't have to manually create a layer for every frame, but it also means that as you import the frames, you have the potential of making a huge file. As you plan your clip and go about making the cinemagraph, be a harsh editor. You're probably going to want to stick with just a few seconds, at most. You'll recall that 24 fps is the typical frame rate for movies so even a 3-second clip will be 72 frames (with 72 layers!).
Here are the steps to making your cinemagraph. This isn't the only way to do it, of course. There's always more than one way to do just about anything in digital imaging. This step-by-step will get you up to speed quickly and easily, though. And if you're a Photoshop expert and you consider yourself a layering machine, by all means, get trickier with the layers.