You will need an application that has been created for this purpose, and luckily, there are plenty of applications. There is one that I currently use and it's called ProShow Producer. The software gives you all the necessary features in order to create stunning slideshows with music, effects, custom text and besides that it also supports a wide range of output options, meaning that you can directly upload to Facebook or burn a CD.
Use the following link to read more about it: http://proshow-producer.software.informer.com/
Note: ProShow is not free, but it will give you an idea of what's all about and what it can do.