Create New Flash file as ActionScript 2.0

Modify > Document
Dimensions 600 px x 550 px

File > Save

File > Import - Import to Stage
The images will all be on on top of the other on the stage and also placed in the library.

Modify > Timeline > Distribute to Layers
top layer is emptied and may be deleted, top image is placed into second to top layer and every other images is placed sequentially down on a separate layer.

Convert each image into a Graphic Symbol, name them consistently with the imported image.

Create a keyframe at frames 10, 20 and 30 (frame 1 is already a keyframe)

At frame 30 select all and click on the image, in the Properties window, choose Color: Alpha 0 and do the same for all images at frame 1.  This step is to create a fade in and fade out which will be put in place as cross fades between images as a transition.

Select anywhere in the area between frame 1 and frame 10 for all layers and in the Property window choose Tween: Motion

Do the same between keyframes 20 and 30.  The tween is an animation term for inbetween and the Motion Tween creates the fade between alpha values.
Now move the frames in each layer over, for a crossfade have the last 10 frames of one image overlap the first 10 frames of the next image, this is nice for a linear presentation.  For nonlinear presentation that will allow buttons to jump for any image to any image, it is best to not have a crossfade, so that there is no overlap between images.

The instructions above are for a linear slideshow.  To create a user controlled slide show add two buttons for previous and next.  You may do this with the text tool or create graphic arrows, then an invisible button will be superimposed over the previous/next text or graphic button.

To create an invisible button use the rectangle tool to create a fill only shape (the outline is not needed, you may turn off the outline near the bottom of the toolbox bar - below the pencil and only have a color for the bucket.)  Once you've created a rectangle, select it with the selection arrow and go to Modify menu up top and select Convert to Symbol, name it and choose Type: Button.

Create a new layer in the timeline for the invisible buttons.  From the library select the newly created invisible button and place one copy of it over the previous text or graphic and a second over the next text or graphic.

The previous and next invisible buttons will need to be scripted to proceed along the timeline.  To do this create a keyframe for each image in the invisible button layer and script each button to move to the frame number for the next or previous image appropriately.  To make the buttons functional open the Actions window from the Window menu.  In the Actions window turn on Script Assist.  From either the plus sign or the menu at the left choose Global Functions > TimeLine Control > goto.  Double click "goto" and the command will be written into the bottom window on the right.  Use the fields in the top right area to edit the command.  Choose gotoAndPlay and then type in the appropriate frame number.  Use gotoAndPlay to have the transitions play from one image to the next.  If you don't wish to use the transtions, choose gotoAndStop. 

If you are using gotoAndPlay you will need to create stops in the timeline.  To do this create a new layer and title it Actions.  For each image following the transition into that image insert a stop(); command.  Do this by creating a keyframe, selecting the keyframe and opening the Actions window.  In the Actions window choose Global Functions > TimeLine Control > stop.

Using the same steps as the invisible buttons to jump from previous and next image you may create thumbnails for each image.