A relatively easy thing to do. The trick here is patience and a dedicated software package.
A really easy package is called Magix Extreme Photostory on CD and DVD 8.
It uses drag and drop boxes that are really simple to use. You can add text to your photo's as well as T.V. Graphics. You can also put music to the slideshow, opening and closing graphics as well as fade dissolve effects between slides. Really easy to use and there are different burn options, including uploading to You Tube, Facebook etc. the other great thing about this package, it supports 16:9 wide TV ratio as well as 4:3, also you can burn to Blueray recorders as well as standard. The price is approximately £30.00 ($50.00 U.S.). But well worth it.
Here is a link if you are interested www.magix.com
Another good thing is that a lot of other programs tend to compress the slide show and some of the quality tends to be lost. With this program there is no compression loss, so the quality remains. i am sure there are many other programs that will do the job. I have this one and really works for me. Good luck and have fun.