First of all,
Add all the pictures you want to use in one window so they end up as layers and not in separate windows as pictured below.
Now create a new frame for each picture, so if you have 5 pictures like me, you should have 5 frames. And then toggle the visibility on each layer to suit each frame so you should have something like this:
I added the photos consecutively (but backwards, I don't know the word for that) so I made my way up on the visibility of the layers.
When you're done, just click File > Save for Web. Alternatively, you can also use the shortcut which is ALT+Shift+CTRL+S and this should pop up:
Just fiddle around with the settings until you're happy with the way it looks, save and you're done!
Easy, huh? Shoot me an or leave a comment if you have any questions or if you wanna share your GIFs/tips!