First, I am certainly not insulted.
Good to know. With this topic, it can difficult to see the line between a genuine inquiry and insult.
I have thought carefully and decided to let you explain something to me. Evolution is many small changes that occur over a long period of time. See, I did learn something.
Well,
kind of. That's a good way of summing up HOW evolution occurs, but in a purely semantic (arguably pendantic) way, it isn't quite scientifically accurate.
Evolution is the name we give to the phenomenon of change in allele frequency in populations over time. In other words, the way in which living populations change and diversify over successive generations. To define evolution as simply "many small changes that occur over a long time" is not entirely wrong, because changes on this scale are
generally slow and
generally the result of minor mutations adding up. However, evolution can also be a result of sudden, explosive mutations and environmental shifts (see punctuated equilibrium) which can happen in relatively short (by comparison to slow accumulation of minor mutations) periods of time. So, evolution is not merely the result of small changes over long periods of time - it can also be the result of big changes in relatively little time. The important thing is that the change alters the allele frequency
of a population (i.e, that the mutations proliferate over multiple generations until either the mutation is carried by the majority - or the entirety - of a population, or results in a seperate population branching off of the first).
So I would like you to explain some of the small steps that may have occured to one cell animals that would lead to more complex animals.
This is kind of like asking for a record of when, where and what letter Shakespeare wrote down every time he put his pen to paper when writing all of his plays. We don't have a complete enough picture in order to know exactly what mutations arose, but we know the broad picture.
One cell animals reproduce by splitting in half and the two halves are copies of the original. See, I know a little more. So what are some small changes that could take place?
The same kinda of small changes that can take place with any kind of reproduction. Nothing ever reproduces an EXACT copy of itself - everything that reproduces (asexually or sexually) does so with variation. In the case of cells, these changes can be just as numerous as with anything else. They could absorb nutrients in a very slightly different way. They could develop a tougher membrane. They could develop resistance to certain bacteria.
A famous example would be the experiments conducted on e coli bacteria over a decade ago. In around 20 years, several populations of bacteria were observed to develop greater size, higher metabolism, etc. One population, however, acquired the ability to absorb citrate - something e coli bacteria previously couldn't do.
These are just the kinds of things we can OBSERVE bacteria acquiring over a span of less than two decades.
Maybe some cells are a little different size or shape? That would have nothing to do with more complex animals. Maybe a cell started to split but got stuck and the two halves stayed together? Is that something that could be passed on to future generations?
No, probably not.
What is more likely is that certain cells evolved an improved ability to kind of "stick together", and reproduced other cells with this similar feature, but that's just one idea. However, the potetial for this kind of mutation has been observed to occur in laboratory testing.
There have been cases of a dog being born with two heads. If that dog had puppies, the puppies would not have two heads.
That depends whether the two heads were a result of a mutation in the genes or some other defect.
The single cell that got stuck would not make more cells that are stuck. It was a mistake. A Siamese twin does not have children who are also Siamese twins. So I would like for you to explain exactly what small changes MIGHT happen to a one cell animal that it could pass on to future generations and MIGHT lead to complex animals.
See above.
I will read you answer with an open mind and will carefully consider whatever you say. And I thank you for taking the time to explain this to me.
No worries! I hope my answer is, at the very least, interesting to you.
Ignorance can be corrected. 
