I don't have Paint Shop, I'm using Irfanview to convert my files for inventory items.
Make sure you save it as .ico file, sometimes AM can be a bit picky with .ico files created by certain software or with a too big size.
Have you already tried to save it as .ico file (if that is possible with Paint Shop)?
EDIT
I just converted your .gif to .ico with Irfanview, and it's working well in Adventure Maker