Hi Moreno and :welcome;
If you are using XP then have a look at Movie Maker, its part of XP.
I have used it a few times recently and its very easy to use and will do just as you want with titles, credits and captions.
You can add transition effects and audio.
One disappointing thing is that it appears to have a limitation of around 150 photos at a time but you can save the first 150 as a .wma file then make your second part and save that and so on.
Once you have completed your slide show you can re import the saved .wma files into movie maker and it splits them into clips, around 15 photos per clip.
It will then join the clips and save them as one .wma file which you can then convert to a VCD, SVCD or DVD to play back on your TV DVD player.
I recently did one with 1488 slides, without any audio.
It made 10 clips which I re imported and made into one .wma file.
The titles, credits and captions are the easiest and best that I have seen on any programs.
Its just a shame that it has this limitation of 150 photos per session, it doesnt mention this anywhere in the help files, I found out by trial and error.
At least it is easily overcome and the advantages of Movie Makers ease of use and the variety of colours, fonts and effects for the text and titles etc make it worth it.