Erm...Spicy, that is not how you save to a 3rd-party file format.
gamefreak13, the best bet would be to animate it in a program other than anim8or that already has a converter for it, because currently the anim8or scripting language doesn't support the exporting of animations. That, or find someone to build a 3rd party converter that converts .an8 files to .egg. If you only want static inanimate objects converted then you can either export to .obj or .3ds and look for a .obj/.3ds to .egg converter or if the .egg format is ASCII and not Binary then you or someone can make a .egg exporter using ASL.