Your best bet for this would be to search Google using search terms like "AS3 slideshow tutorial" or "AS3 dynamic slideshow turoial". THis assumes you are designing an AS3 file. If not, substitiute AS2 for AS3 in the terms.
In AS3, one of the main classes used for loading external images is the Loader class. SO becoming familiar with that will be a necessary part of the learning. But that is not all since you want to have controls for displaying the images.
One thing I noticed with the banner you show, the images would not seem to need to be any "huge" burden as far as file goes. You should optimize all images before you import them into the file.
Still, having the images loading from an external supply will be better because then you can change the images as you wish without having to edit the Flash file. To realize this capability you should include "XML" with the rest of the search terms previously identified.
Actually, I do resize and optimize the images, and with the images I currently have, the file is 235k. I don't want it any bigger so we can't add anymore images. I've never done any AS2 or 3, something I need to learn. Or maybe try out Edge and see what I can do there. Was also thinking instead of having a movie in a movie like it is now, where the rotating dogs is a separate movie, I might try and move it all out in the same timeline and see of I can save it as HTML instead. It doesn't save to HTML from the way I have it currently. Not sure if it's because of a movie in a movie, or because of the transitions. Just ideas I'm thinking about, lol.