Here's a simple way:
You have to make a page...
Then make another page.
Then make another page.
And so on.
Let's call the first page "1.html"
Let's call the first image "1.jpg
So, on 1.html, let's link to the second page..:
<a href=2.html><img src=1.jpg></a>
On page 2:
<a href=3.html><img src=2.jpg></a>
And so on.
Then, on the last page. simply link back to 1.html.
I think I understood your question correctly.