There may be some minor errors within this post, partly from my own (mis)understanding as a hobbiest and partly due to the lack of clear help within MPLAB IDE, but I'll have a go..
When PICkit2 is selected as the debugger, there are a number of extra icons displayed on the toolbar within MPLAB IDE, some of which typically resemble those you would find on a VCR or tape-deck.
Play - > = Run
Pause - II = Halt
Fast Forward - >> = Animate
... and some others that require more detailed explanation...
...but we will start with the familiar ones.
Run (>) - Actually runs the program with no indication of program counter position, until Halt (II) is clicked. Upon clicking Halt, the last instruction executed is displayed in the currently active window - frustratingly, the assembly listing is displayed as default. (other choices are available under the "View" menu heading, however, they will not be in focus after a halt.)
Halt (II) - What it says on the tin.
Animate (>>) - You have already found this function and can appreciate that the program is executed as quickly as MPLAB and your machine are capable, whilst updating currently-open windows. Trying to bring another window other than the assembly listing into focus is, again, futile. Upon re-starting an animation, any previously-closed assembly listing is re-opened and animation takes place within. Kinda boring when stuck in a delay routine.
Now to the more helpful stuff.
To the right of the "Animate" icon is the "Step into" icon. {¬}
This icon, with each single click, will perform a single-step execution within the program...each line is executed and switching between other windows can display a changing register content etc. - great for monitoring the change of a TRISX or PORTX event, but quite repetative when looking at a delay loop....which leads to the next icons.
Step over - {}¬
This next icon, with each single click, will ignore the current instruction and leave it's related registers unchanged. *Better interpretation/explanation required from the more-experienced forum members.*
Step out - This icon, when clicked, executes the program from the current position, until a "return" is processed. Useful for processing a particular routine in it's entirety and returning to the program branch which called the routine.
Reset - What it says on the tin - Returns the program to the initial power-on state.
Breakpoint - A pre-determined point within the program, selected by double-clicking a particular line, where program execution is requested to be halted upon particular conditions being met. Consider a BTFSC PORTA, 0 loop testing for switch input on Bit 0 of PORTA. The program will continue to execute until PORTA Bit 0 switch is pressed...and then the program will break.
Hope I've got most of this right...Sure I'll find out sooner or later.
BTW, the initial Q never got answered...."Animate" speed can be adjusted for MPLAB SIM in 'Debugger' - 'Settings' - 'Simulator settings', but AFAIK, there are no similar options for PICkit2.