Sounds like you want a couple photos in flash, then have them crossfade into one another? I really hope that's it, because I think I am going to give pretty detailed instructions...
If that is correct:
It will be easier if all your photos are the same height/width (do this in photoshop)
Fire up flash
press command j to open up the document properties and set the stage size to the size of your photos
go to the file menu and scroll down to import
choose import to library
select the photos you wish to use
now back to the timeline
rename layer one to the name of your photo
click on the name of your photo in the library and drag it out onto the stage
you should now see your first photo on the stage
align it so it fits in the stage (the white area)
select the photo
go to modify->convert to symbol
select movie clip from the drop down menu
name it accordingly
press ok
on the layer that has the photo go out to frame 24ish and right click on the frame
choose insert keyframe
now go 12 more frames out (frame 36) and right click and press insert keyframe
drag the timeline to frame 36 so you are at that point in time
click on the image on the stage (your first photo)
in the properties palette click the color effect drop down and choose alpha
drag the slider to 0, your image should disappear
right click on one of the frames in between 24 and 36, let's say 30
choose create motion tween
if you scrub the timeline between these frames, you should see the image fading out
now create a new layer (maybe hide the first layer to make things easier)
drag your next photo onto the stage
select your second photo and go to modify->convert to symbol
choose movieclip again and press ok
create keyframes at 24 36 and 60
go to frame one and select your second photo and delete it
go to frame 24 and go to color effect->alpha and drag the slider to 0
right click on a frame in between 24 and 36 and press insert create tween
(if your other layer is hidden) and you scrub the timeline you should see your second photo fading in
if you unhide the other layer you should see a crossfade
press command + return to test/render your movie
enjoy
rinse and repeat for additional photos, with these concepts in mind you should be able to make it a continuous loop
if you have any questions about this, I recommend google and the flash documentation