This would involve javascript rather than php.

What you would have to do is use JavaScript to first preload the images, so that there is not delay when the image slides to the next.
This is done by attaching an onload event handler to the window object.
IE: window.onload = function() { /* js preload images goes here */ };

Switching through images is a simple matter. Changing the source of an image will make the browser load a new image in replacement of the old one.
IE: img.src = 'http://example.com/images/newimage.gif";

Maybe the JS forum would help or you can try google for "JavaScript Image Slideshow" or something similar.