Is it possible to have the slideshow plugin displaying thumbnails of images on a web page on the same server?

No, the slideshow does not display thumbnails. I would suggest you use the http://www.malsup.com/jquery/cycle/ directly for that.

This seems inapproriate but do you have any simple guide on that plugin? I visited http://www.malsup.com/jquery/cycle/, downloaded jquery and that plugin but it's not working. I can see all the 5 pictures in one page but it's not rotating. That guy made a really nice plugin but that installation guide is awful for newbies. I'm new to this jquery and ajax thing.

Thank you.

All I know I have from there (well, usage of JQuery/Ajax is indeed not for newbies...:-))) It actuall not really hard, you basically need to include jQuery and the cycle plugin in the head of your php/html file. Then follow the example code here: http://www.malsup.com/jquery/cycle/begin.html (Maybe take a look at the source code of those example, too)
I would suggest you look at the main jQuery site, too.

I actually viewed the source code of that site and visited jQuery site too. My problem is actually passing the parameter to get it working. There's no concrete (step-by-step) example for noobs.

Luckily I saw this SmoothGallery using mootools at smoothgallery.jondesign.net. This works for me and at some point better it's than jQuery Cycle plugin. I will certainly work on jQuery on other project even though I find it hard at this point in time.

Thank you for your time.

Maybe you could look at the slideshow plugin. It's not that hard, even for me who is not an ajax expert...:-)
Well, jQuery is the standard zenphoto ajax libary, that's why I suggested that. Anyway, of course you can use what's fitting best for you.