Lots of different ways to do this.
You build one manually. Reference: How to Thumbnail in Publisher Web
Publications:
http://msmvps.com/blogs/dbartosik/articles/80553.aspx
You can generate a HTML slide show with most image editors including
irfanview, picassa, photoshop elements, etc. If you have some other image
editor just look for something under File that reference exporting as a
slide show...
My favorites include Porta:
http://www.stegmann.dk/mikkel/porta/ and JAlbum:
http://jalbum.net/
You can also google for javascript slide shows or photo galleries to find
other free scripts that you insert into your pages via the insert html code
fragment feature.
And I ran across this resource recently:
http://www.ornj.net/webalbum/
DavidF