Enzie:
I have done something like this using two tools - Flash, and PowerPoint.
With Flash, you import the images into the tool and create your screenshow like a little movie. It saves out as an HTML file with a SWF file. You burn these to a CD with an autorun script which tells the CD what to do when it is placed in a drive. If you don't have Flash, you can download a fully functional demo for 30 days.
With Powerpoint, it is just like creating a presentation. Each slide is an imported painting. You can include a PowerPoint viewer on the CD so the user does not need PPT to see the slide show.
Hope that helps.