I found a promising JQuery slideshow here, but I missed the Ajax loading of images and and an autoslide ability. So I looked at the code and tried some quick and dirty enhancements.
In the following you will find a working JQuery slider with downloadable example code and a live demo.
Here you can see a demo of the JQuery slideshow. The code has some comments, if you need further explanations on some parts, please let me know.