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Option #1 Build your slideshow in Flash
Option #2 Use one of serveral jQuery Slideshow plug-ins
Option #3 make an animated GIF
The advantage of Option #2 is that you can change the images in DW whenever you want to without refactoring the entire project in an outside application.
in addition to Nancy's suggestions, I want to persuade you to try to use as many components of DW as possible. As an example, I knocked a really small website for you at the moment, look here: http://www.goldschmiede-blumberg.de/rotatMus.html.
Thanks for the info. I have been a print designer for 12 years now so the transition to web is less then smooth. I have had to revise down my original design based on the capabilities of the web. I am near to having the bulk of the site built so hopefully when I add the looping images I wont hit an unexpected road block.