Like Chad said, you can buy one off the shelf. However if you just want to build it, or you want one that's more customizable and has a larger picture capacity you can do it very easily.
You need:
A 5X7 lcd monitor. Check ebay, the kind that are made for cars are usually the cheapest. You'll also need a 12 volt power brick to hack to it so you can plug it into wall current. I expect this will be the most expensive part, but still only $100 or less, I bought one for $50 recently.
A cheap PC with composite video out. You should be able to find a suitable PC for free. Might have to buy a video card for it so you can plug in your monitor.
Some kind of slideshow software. A google search will turn up a bunch.
Stick the PC under your desk, run the cable up to where ever you want to display your monitor. Should be able to do it for well under $150, much less if you already have some or all of the stuff you need.
-S