As stated previously, make sure you are running the newest version of Entropy's kernel. It provides boot animation support. After confirming you are using the most recent or flashing the most recent, place the bootanimation.zip file into the system/media folder. You can actually place it in there prior to flashing the kernel and you will get to watch it in all of its glory once you reboot after flashing the new kernel.
I was having issues with it displaying a boot animation for me until I flashed the newest kernel (10/09).
This should fix most if not all problems.
Good luck.