First time I tried this I used Windows movie maker which did a reasonable job and was straight forward enough. I think I then used media player to burn it in a vcd format. The only problem I found was that when I burnt it the hard work I'd put into syncing an audio track to the slide show was wasted cos the slide durations dropped back to a default.
Best thing to do though, is too experiment which is why I used vcd instead of dvd (dvds were a lot more expensive at the time

)