Open up FrontPage 2003.
Hit the F1 key.
Assuming you get the FrontPage Help panel at the right hand side of the page after hitting F1, type slideshow into the top "Search for" textbox then hit Enter or click the little arrow to the right of the textbox.
Click the help link that reads "Create a photo gallery" and follow the instructions therein.
The built in slideshow in FrontPage only works well with Internet Explorer. Other browsers either can't or won't cope with it properly.