Sounds like you're looking for DVD authoring software. If you want to go cheap, Windows XP (not sure about other versions) comes with Windows Movie Maker (found in "accessories"

. It will import your pictures and burn them to a movie file which then can be put on a playable DVD along with a menu system. You can also add transitions, title overlays etc.
I started with Sony Screenblast, which is a consumer level version of Sony Vegas, their professional video/DVD authoring program. It does the same as above, only with considerably more creative control. I think I paid about $65 for it new at Best Buy.