There are two ways to do this, and both involve a little JavaScript. The first way is to have two images - a thumbnail size and a large size - and use JS to swap between them. The second way is to use JS to resize one image - this produces worse results.

I don't know how to do it from Dreamweaver MX 2004, but from the original DW MX, it's very easy. Simply go to the Insert menu and select Interactive Images and then Rollover Image. Enter the filenames of the small thumbnail image and the larger version. Tada!