The question is more to do with your DVD player than with the format of the images. Some DVD players can show a series of still images (usually JPG format) as a slideshow, while others can't. Check your player's manual.
If your DVD player has got this function, you probably just need to stick all your JPGs on a DVD-R and Bob's your uncle. However, if your player can't handle still images there are various software packages (e.g. Magix Movie Edit Pro:
MAGIX - Movie Edit Pro - detail) that you can use to create a slideshow from a series of photos, and then burn to DVD as a movie. Although it's more in-depth, the advantage of this method is that you can add background music and titles and control how long the images stay on screen and the transitions between images.